Does the Momentum Strategy Work Universally? Evidence from the Japanese Stock Market
Does the Momentum Strategy Work Universally? Evidence from the Japanese Stock Market
复制标题
动量策略是否普遍有效？
DOI：
10.1023/a:1020691528681
复制
发表时间：
2001
影响因子：
1.7
通讯作者：
Yul W. Lee
中科院分区：
文献类型：
--
作者：
Chunlin Liu;Yul W. Lee
本文研究了1975年至1997年期间日本股票市场动量策略的有效性。这项研究的主要发现是，投资于过去三到十二个月的赢家和出售过去三到十二个月的输家的动量策略投资组合在随后的三到十二个月每月损失约0.5%。这意味着日本股票市场的股票价格在中期内会逆转而不是持续。最显著的反转模式出现在投资组合形成的第一个月，这是小型股所特有的。即使市场风险和规模因素得到控制，价格反转仍然存在。
This paper investigates effectiveness of momentum strategies in the Japanese stock market during the period of 1975 to 1997. The main findings of this research are that momentum strategy portfolios which invest in past three-to-twelve month winners and sell past three-to-twelve month losers lose about 0.5% per month over the subsequent three to twelve months. This means that stock prices in the Japanese stock market reverse rather than continue over a medium-term horizon. The most significant reversal pattern is observed at the first month of portfolio formation and is unique to small stocks. Even with the market risk and size factor controlled, the price reversal is still present.