Momentum, Legal Systems and Ownership Structure: An Analysis of Asian Stock Markets
Momentum, Legal Systems and Ownership Structure: An Analysis of Asian Stock Markets
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动力、法律体系和所有权结构：亚洲股市分析
DOI：
10.2139/ssrn.265848
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发表时间：
2000
期刊：
影响因子：
--
通讯作者：
S. Titman
中科院分区：
文献类型：
--
作者：
A. Chui;K. Wei;S. Titman
本文考察了八个亚洲市场的动量利润，重点是所有权结构，法律的制度和估值的不确定性。结果表明，动量策略，即买过去的赢家和卖过去的输家，是非常有利可图的实施时，在亚洲股市日本以外。有趣的是，普通法/大陆法的区别提供了一个完美的指标，表明市场在金融危机之前是否表现出动量效应。与之前在美国的发现一致，我们的文件，动量效应是相对较强的公司与较小的市值，较低的账面市值比率，和较高的周转率。此外，我们的文件，势头效应是更强的独立企业比集团附属企业，目前弱的证据表明，外国所有权可以影响日本企业的势头效应。我们还发现，在投资组合形成日期后的9个月或10个月左右，收益率会发生逆转，这支持了一些行为模型的预测。
This paper examines momentum profits in eight Asian markets with a focus on ownership structure, legal systems and valuation uncertainty. The results indicate that momentum strategies, which buy past winners and sell past losers, are highly profitable when implemented on Asian stock markets outside Japan. Interestingly, the common law/civil law distinction provides a perfect indicator of whether or not a market exhibited a momentum effect prior to the financial crisis. Consistent with the previous findings in the U.S., we document that the momentum effect is relatively stronger for firms with smaller market capitalizations, lower book-to-market ratios, and higher turnover ratios. In addition, we document that the momentum effect is stronger for independent firms than for group-affiliated firms and present weak evidence that suggests that foreign ownership can influence the momentum effect in Japanese firms. We also find return reversals around nine or ten months after the portfolio formation date, which supports the prediction of some behavioral models.