کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10476373 | 929786 | 2005 | 21 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
International momentum strategies: a stochastic dominance approach
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper applies recent econometric tests of stochastic dominance to examine an enduring puzzle in finance: the momentum effect in stock returns (J. Finance 48 (1993) 65). We use stochastic dominance tests to distinguish between the hypothesis that there exists general asset pricing models that can explain momentum versus the alternative hypothesis that there are no asset pricing models consistent with risk-averse investors that can rationalize that effect. Using stock index data for 24 countries over the period 1989-2001, we show that winner portfolios stochastically dominate loser portfolios at second and third order. These results are robust to two subperiods with different risk and return characteristics and survive reasonable transaction costs for international index funds. Our results indicate that the search for rational asset pricing explanations for the momentum effect may be a futile one.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 8, Issue 1, February 2005, Pages 89-109
Journal: Journal of Financial Markets - Volume 8, Issue 1, February 2005, Pages 89-109
نویسندگان
Wai Mun Fong, Wing Keung Wong, Hooi Hooi Lean,