Determinants of stock price momentum

• Main Authors: Yu-Hui Lin, 林育暉
• Other Authors: Wen-I Chuang
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/27436618653075954129

碩士 === 國立臺灣大學 === 財務金融學研究所 === 104 === Arbitrage is easier when markets are more liquid, and hence the profitability of anomaly-based trading strategies should be lower. However, Avramov, Cheng and Hameed (2016) find that moment profits are larger in liquid market. This study verifies their findings and get the same results, and this study further finds that the relation between market liquidity and momentum profits depend on market states. When the market continues to rise, market liquidity negatively predicts future momentum profits. The above-mentioned findings are more consistent with basic intuition. Additionally, predictive impact of market turnover and market volatility on momentum profits are affected by investor sentiment. When investor sentiment is low, market turnover and market volatility have greater predictive impact on future momentum profits.