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| Titel: |
The Effect of Ex Ante Price on Momentum Profits |
| Auteur: |
Onayev, Zhan Savickas, Robert |
| Verschenen in: |
Journal of behavioral finance |
| Paginering: | Jaargang 5 (2004) nr. 1 pagina's 8-22 |
| Jaar: |
2004-03-01 |
| Inhoud: |
We find a strong effect of component stock prices (as of one year before the returns-ranking period) on the magnitude and duration of momentum. Relative strength portfolios formed of high-priced stocks earn statistically significant momentum profits for any holding period in the first three to four years. The effective annual return of the high-priced momentum portfolio for the first year is economically significant at 18.4%, after controlling for the capitalization, trading volume, and unconditional mean effects. This return is considerably higher than the 11.3% earned by low-priced momentum portfolios. Although the price level is correlated with capitalization and trading volume, the price effect is not a mere manifestation of the capitalization and volume effects, as it endures even when the other factors are controlled for. We discuss several implications of our results for the existing behavioral and risk-based explanations of momentum, as none of these models have an explicit role for the price effect. |
| Uitgever: |
Routledge |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
Details van artikel 7 van 7 gevonden artikelen
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