An Empirical Analysis of Industry Momentum in Chinese Stock Markets

作者：Su, Dongwei^*

来源：Emerging Markets Finance and Trade, 2011, 47(4): 4-27.

DOI：10.2753/REE1540-496X470401

• asset pricing
• behavioral biases
• Chinese stock markets
• industry returns
• momentum

This paper documents significant abnormal profits for industry momentum strategies in Chinese stock markets. Industry momentum remains profitable even after controlling for lead-lag effect, the January effect, and individual stock momentum. Moreover, momentum profits generated by industry-specific components are much larger than those generated by common-factor components of the Fama-French three-factor model and a delayed-reaction three-factor model. The findings provide new evidence that momentum profits are due to idiosyncratic risk and investors' underreaction to industry-specific information. The implication is that behavioral biases, market manipulation, and institutional trading are pivotal in explaining why stock prices do not incorporate industry-specific news instantaneously.

• 出版日期2011-8
• 单位暨南大学