Empirical Determinants of Momentum Life Cycle

• Main Authors: Fu-Hsiu Wu, 吳馥秀
• Other Authors: Pin-Huang Chou
• Format: Others
• Language: en_US
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/96553285122187019708

碩士 === 國立中央大學 === 財務金融研究所 === 96 === This study examines whether trading volume is a useful determinant of momentum life cycle in the U.S. market. From the momentum life cycle hypothesis, price momentum of low-volume winners and high-volume losers is more likely to persist in near future. However, the evidence of this paper reveals that low-volume stocks actually show greater persistence in price momentum among winners, but the persistence of price momentum between high-volume losers and low-volume losers is not significantly different. It is obvious that the trading volume cannot provide information in locating a given stock in its momentum life cycle perfectly. However, we find that book-to-market ratio, firm size and institutional ownership are useful determinants of momentum life cycle. Particularly, the price momentum of winners with high book-to-market ratio, large size or high institutional ownership and that of losers with low book-to-market ratio, small size or low institutional ownership tend to persist in near future while price momentum of winners with low book-to-market ratio, small size or low institutional ownership losers and that of losers with high book-to-market ratio, large size or high institutional ownership tend to reverse in near future.