کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9551479 | 1373230 | 2005 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Industry momentum and common factors
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Jegadeesh and Titman [1993. Journal of Finance 48, 65-91] suggest that if there is a delayed reaction to common information in the stock market, a factor model should include not only contemporaneous but also lagged common factors. We therefore consider a delayed-reaction model that includes both contemporaneous and lagged Fama-French factors. Empirically, we find that common risk based on such a delayed-reaction model can largely explain the momentum in industry portfolio returns. Thus, the present paper rejects the idea that momentum is mainly due to idiosyncratic risk and supports the idea that momentum is due to common risk.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 2, Issue 3, September 2005, Pages 107-124
Journal: Finance Research Letters - Volume 2, Issue 3, September 2005, Pages 107-124
نویسندگان
Ding Du, Karen Denning,