کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
982355 1480473 2008 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The 52-week high and momentum investing in international stock indexes
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
The 52-week high and momentum investing in international stock indexes
چکیده انگلیسی

A commonly held view is that short-term momentum and long-term reversals in returns are an integrated process [e.g., Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49, 307–343; Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor psychology and security market under- and over-reaction. Journal of Finance, 53, 1839–1886; Hong, H., & Stein, J. C. (1999). A unified theory of underreaction, momentum trading, and overreaction in asset markets. Journal of Finance, 54, 2143–2184]. Recently, George and Hwang [George, T. J., & Hwang, C. (2004). The 52-week high and momentum investing. Journal of Finance, 59, 2145–2176] strikingly find that momentum and reversals are largely separate phenomena. Due to the critical importance of this finding to theoretical asset pricing and practical investment decisions, we examine this issue in international stock markets. Differently from George and Hwang (2004), we find that their conclusions may be open to question because momentum and reversals co-exist in the international stock indexes.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 48, Issue 1, February 2008, Pages 61–77
نویسندگان
,