Please use this identifier to cite or link to this item:
|Title:||International momentum strategies: A stochastic dominance approach|
|Authors:||Fong, W.M. |
|Citation:||Fong, W.M., Wong, W.K., Lean, H.H. (2005). International momentum strategies: A stochastic dominance approach. Journal of Financial Markets 8 (1) : 89-109. ScholarBank@NUS Repository. https://doi.org/10.1016/j.finmar.2004.08.001|
|Abstract:||This paper applies recent econometric tests of stochastic dominance to examine an enduring puzzle in finance: the momentum effect in stock returns (J. Finance 48 (1993) 65). We use stochastic dominance tests to distinguish between the hypothesis that there exists general asset pricing models that can explain momentum versus the alternative hypothesis that there are no asset pricing models consistent with risk-averse investors that can rationalize that effect. Using stock index data for 24 countries over the period 1989-2001, we show that winner portfolios stochastically dominate loser portfolios at second and third order. These results are robust to two subperiods with different risk and return characteristics and survive reasonable transaction costs for international index funds. Our results indicate that the search for rational asset pricing explanations for the momentum effect may be a futile one. © 2004 Elsevier B.V. All rights reserved.|
|Source Title:||Journal of Financial Markets|
|Appears in Collections:||Staff Publications|
Show full item record
Files in This Item:
There are no files associated with this item.
checked on May 21, 2018
WEB OF SCIENCETM
checked on May 1, 2018
checked on May 5, 2018
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.