Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/13392
Title: Two essays on stock price momentum
Authors: HUA WEN
Keywords: stock price synchronicity, momentum, cross-sectional variation in expected returns, risk, financial analyst, information efficiency
Issue Date: 13-Nov-2007
Source: HUA WEN (2007-11-13). Two essays on stock price momentum. ScholarBank@NUS Repository.
Abstract: Essay 1: I argue that the parallels between the evidence of momentum and synchronicity could be due to the effect of cross-sectional variation in expected returns, which may arise from both the risk and the investors psychology.The empirical test results show that the cross-sectional variation in risks contributes to the negative relation between synchronicity and momentum. Further, it is the industry-risk, as well as other omitted common-risks from the two-factor model, but not the market-risk, that contributes to momentum profits. Essay 2: This paper investigates the role of information efficiency in momentum in the emerging markets. It is interesting to note that the momentum strategy works particularly well among stocks with low analyst coverage, decreasing analyst coverage, and high forecast dispersion. The observed relation between analyst behaviors and momentum is unrelated to the analyst herding tendency, and it does not fully support the information uncertainty story.
URI: http://scholarbank.nus.edu.sg/handle/10635/13392
Appears in Collections:Ph.D Theses (Open)

Show full item record
Files in This Item:
File Description SizeFormatAccess SettingsVersion 
WENh.pdf709.62 kBAdobe PDF

OPEN

NoneView/Download

Page view(s)

358
checked on Dec 11, 2017

Download(s)

276
checked on Dec 11, 2017

Google ScholarTM

Check


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