کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
983385 | 1480482 | 2006 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The determinants of momentum in the United Kingdom
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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 study examines the effects of size, analyst coverage, and book-to-market in explaining momentum profits in UK stocks. We document a pattern of momentum in UK stocks and find that momentum profits are negatively related to firm size, analyst coverage, and book-to-market. We find that book-to-market is more important than coverage and coverage is more important than size in explaining momentum profits. We examine the book-to-market effect closely and find that a value premium exists for past stock losers, but a growth discount exists for past stock winners. Finally, the results of this study provide mixed support for the information diffusion hypothesis of Hong and Stein (1999).
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 46, Issue 2, May 2006, Pages 227-240
Journal: The Quarterly Review of Economics and Finance - Volume 46, Issue 2, May 2006, Pages 227-240
نویسندگان
Phillip J. McKnight, Tony C.T. Hou,