Behavioral FinanceInterpretation of Momentum Effect ——New Evidence from Chinese Stock Market
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| Title | Behavioral FinanceInterpretation of Momentum Effect ——New Evidence from Chinese Stock Market
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| Author | Zheng Zhenlong and Chen Huanhua |
| Organization | Xiamen University |
| Email | zlzheng@xmu.edu.cn;chenhhfe@xmu.edu.cn |
| Key Words | Momentum Effect; Behavioral Finance; Perspective Theory; Anchroing Bias;Diposition Effect; Relative Price Momentum |
| Abstract | We studied weekly data from Chinese stock markets and found some unique cyclical characteristics. Then we constructed 'relative price momentums' portfolios which earn singnificant positive returns. We show that both of the 'relative price momentums' are major sources of traditional momentum effect and can not be explainedby traditional risk resources. Further dummy variables regression surpports these conclutions,and it is more singnificant after controlled major risk factors. These results provide direct evidence that the irrational behaviours of invester influence the return of stocks, and there are both 'anchroing bias' and 'disposition effect' in Chinese stock markets |
| Serial Number | WP214 |
| Time | 2012-02-15 |
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