Residual momentum versus price momentum: evidence from four Asian markets

Chao Shin Chiao, Yu Jen Hsiao, Jou Chun Chen, Nguyen Minh An

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)1-10
Number of pages10
JournalAsia-Pacific Journal of Accounting and Economics
DOIs
Publication statusAccepted/In press - May 18 2018

Fingerprint

Price momentum
Momentum
Asia
Momentum strategies
Profitability
Momentum effect
Market risk
Stock market
Thailand
Singapore
Time-varying
Capital asset pricing model
Taiwan
Investment strategy
Hong Kong

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 journalArticle

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