Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089916 | Journal of Banking & Finance | 2012 | 17 Pages |
Abstract
⺠Dynamics of stock price continuation are asymmetrical in term of business cycles. ⺠During recession, level of credit quality dominates losers' return dynamics. ⺠During recession, information transparency dominates winners' return dynamics. ⺠In expansion, asset pricing factors affect returns along with credit quality. ⺠The asymmetry leads insignificant profits by conventional momentum strategies.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Alex YiHou Huang,