Does short-term momentum exist in China?

Short-term momentum is as profitable and as persistent as conventional price momentum. It survives transaction costs and is strongest among the largest, most ...

Momentum, the tendency of past winner stocks to outperform past loser stocks over the next several months, is one of the most well-documented and well- ...

Short-term momentum is as profitable and as persistent as conventional price momentum. It survives transaction costs and is strongest among the largest, most ...

Short-term momentum is as profitable and as persistent as conventional price momentum. It survives transaction costs and is strongest among the largest, most ...

The short-term momentum strategy is persistent for 12 months after formation, while the short-term reversal strategy is indistinguishable from ...

臺灣股票市場短期動能現象之研究 · Short-Term Momentum in Taiwan Stock Market · 摘要 · 關鍵字 · 並列摘要 · 並列關鍵字 · 參考文獻 · 延伸閱讀 · 國際替代計量 ...

The purpose of this study was to verify short-term investment performance in Taiwan stock market by using daily returns and zero investment portfolios.

In summary, while conventional momentum strategies typically “skip” the most recent month of returns to avoid short-term reversal, short-term ...

Contrary to stock-level evidence, we find a striking short-term momentum pattern: the most recent month's return positively predicts future performance.

We replicate their research in the Chinese stock market and find that there is no short-term momentum but only short-term reversal exists in that market.