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
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Industry momentum and common factors
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
نویسندگان
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