Abstract
This paper investigates the profitability of momentum investment strategies – residual momentum versus price momentum – for common stocks listed in Hong Kong, Singapore, Taiwan, and Thailand. This study shows that the residual-momentum winner and loser on the previous residual returns derived under the CAPM have lower time-varying exposures to the market risk. The residual momentum strategy generates not only higher but also more consistent returns over time than the price momentum strategy. Moreover, the residual momentum effect exists in the four aforementioned stock markets, whereas there is no evidence for the price momentum.
| Original language | English |
|---|---|
| Pages (from-to) | 1-10 |
| Number of pages | 10 |
| Journal | Asia-Pacific Journal of Accounting and Economics |
| DOIs | |
| Publication status | Accepted/In press - May 18 2018 |
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Keywords
- Price momentum
- residual momentum
- time-varying exposures
ASJC Scopus subject areas
- Accounting
- Finance
- Economics and Econometrics
Cite this
Residual momentum versus price momentum : evidence from four Asian markets‡. / Chiao, Chao Shin; Hsiao, Yu Jen; Chen, Jou Chun; An, Nguyen Minh.
In: Asia-Pacific Journal of Accounting and Economics, 18.05.2018, p. 1-10.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Residual momentum versus price momentum
T2 - evidence from four Asian markets‡
AU - Chiao, Chao Shin
AU - Hsiao, Yu Jen
AU - Chen, Jou Chun
AU - An, Nguyen Minh
PY - 2018/5/18
Y1 - 2018/5/18
N2 - This paper investigates the profitability of momentum investment strategies – residual momentum versus price momentum – for common stocks listed in Hong Kong, Singapore, Taiwan, and Thailand. This study shows that the residual-momentum winner and loser on the previous residual returns derived under the CAPM have lower time-varying exposures to the market risk. The residual momentum strategy generates not only higher but also more consistent returns over time than the price momentum strategy. Moreover, the residual momentum effect exists in the four aforementioned stock markets, whereas there is no evidence for the price momentum.
AB - This paper investigates the profitability of momentum investment strategies – residual momentum versus price momentum – for common stocks listed in Hong Kong, Singapore, Taiwan, and Thailand. This study shows that the residual-momentum winner and loser on the previous residual returns derived under the CAPM have lower time-varying exposures to the market risk. The residual momentum strategy generates not only higher but also more consistent returns over time than the price momentum strategy. Moreover, the residual momentum effect exists in the four aforementioned stock markets, whereas there is no evidence for the price momentum.
KW - Price momentum
KW - residual momentum
KW - time-varying exposures
UR - http://www.scopus.com/inward/record.url?scp=85047124218&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85047124218&partnerID=8YFLogxK
U2 - 10.1080/16081625.2018.1474772
DO - 10.1080/16081625.2018.1474772
M3 - Article
AN - SCOPUS:85047124218
SP - 1
EP - 10
JO - Asia-Pacific Journal of Accounting and Economics
JF - Asia-Pacific Journal of Accounting and Economics
SN - 1608-1625
ER -