Momentum Strategies: Evidence from Pacific Basin Stock Market

Author

Yuanto KUSNADI, Singapore Management UniversityFollow
Allaudeen Hameed

Publication Type

Journal Article

Publication Date

2002

Abstract

We investigate the profitability of momentum investment strategy in six Asian stock markets. Unrestricted momentum investment strategies do not yield significant momentum profits. Although we find that a diversified country-neutral strategy generates small but statistically significant returns during 1981–1994, when we control for size and turnover effects we find that the country-neutral profits dissipate. Our evidence suggests that the factors that contribute to the momentum phenomenon in the United States are not prevalent in the Asian markets.

Discipline

Accounting

Research Areas

Financial Performance Analysis

Publication

Journal of Financial Research

Volume

25

Issue

3

First Page

383

Last Page

397

ISSN

1475- 6803

Identifier

10.1111/1475-6803.00025

Publisher

Wiley

Citation

KUSNADI, Yuanto and Hameed, Allaudeen. Momentum Strategies: Evidence from Pacific Basin Stock Market. (2002). Journal of Financial Research. 25, (3), 383-397.
Available at: https://ink.library.smu.edu.sg/soa_research/1154