Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/237117 
Year of Publication: 
2018
Citation: 
[Journal:] Financial Innovation [ISSN:] 2199-4730 [Volume:] 4 [Issue:] 1 [Publisher:] Springer [Place:] Heidelberg [Year:] 2018 [Pages:] 1-29
Publisher: 
Springer, Heidelberg
Abstract: 
To explain medium-term momentum and long-term reversal, we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio. According to the CAPM model's zero explanatory ability with respect to stock market anomalies, we obtain an anomaly interpretative model. This study shows that this anomaly interpretative model can explain stock market perceptions and medium-term momentum. Most importantly, BM is a critical factor in the model's explanatory ability. We present a robustness test, which includes selecting new sample data, adding new auxiliary variables, changing sample years, and adding industry fixed effects. In general, the BM effect does have considerable explanatory power in medium-term momentum and long-term reversal.
Subjects: 
Stock market volatility
medium-term momentum
long-term reversal
holding period
formation period
book-to-market ratio
return on equity
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.