메뉴 건너뛰기




Volumn 15, Issue 3, 2005, Pages 235-255

Momentum and contrarian strategies in international stock markets: Further evidence

Author keywords

International; Momentum; Value glamour

Indexed keywords


EID: 20444447146     PISSN: 1042444X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.mulfin.2004.09.001     Document Type: Article
Times cited : (20)

References (43)
  • 1
    • 0038992356 scopus 로고    scopus 로고
    • The interaction of value and momentum strategies
    • C. Asness The interaction of value and momentum strategies Financial Analysts Journal 53 1997 29-36
    • (1997) Financial Analysts Journal , vol.53 , pp. 29-36
    • Asness, C.1
  • 2
    • 0031094164 scopus 로고    scopus 로고
    • Parallels between the cross-sectional predictability of stock and country returns
    • Spring
    • C. Asness J.M. Liew R.L. Stevens Parallels between the cross-sectional predictability of stock and country returns Journal of Portfolio Management 23 3, Spring 1997 79-87
    • (1997) Journal of Portfolio Management , vol.23 , Issue.3 , pp. 79-87
    • Asness, C.1    Liew, J.M.2    Stevens, R.L.3
  • 3
    • 0037510193 scopus 로고    scopus 로고
    • Momentum trading by institutions
    • S.G. Badrinath S. Wahal Momentum trading by institutions Journal of Finance 57 6 2002 2449-2478
    • (2002) Journal of Finance , vol.57 , Issue.6 , pp. 2449-2478
    • Badrinath, S.G.1    Wahal, S.2
  • 4
    • 0040807097 scopus 로고    scopus 로고
    • Mean reversion across national stock markets and parametric contrarian investment strategies
    • R. Balvers Y. Wu E. Gilliland Mean reversion across national stock markets and parametric contrarian investment strategies Journal of Finance 55 2 2000 745-772
    • (2000) Journal of Finance , vol.55 , Issue.2 , pp. 745-772
    • Balvers, R.1    Wu, Y.2    Gilliland, E.3
  • 5
    • 3342926537 scopus 로고    scopus 로고
    • Momentum and mean reversion across national equity markets
    • Working Paper
    • Balvers, R., Wu, Y., 2002. Momentum and mean reversion across national equity markets. Working Paper.
    • (2002)
    • Balvers, R.1    Wu, Y.2
  • 10
    • 0042594655 scopus 로고    scopus 로고
    • Momentum, business cycle, and time-varying expected returns
    • T. Chordia L. Shivakumar Momentum, business cycle, and time-varying expected returns Journal of Finance 57 2 2002 985-1019
    • (2002) Journal of Finance , vol.57 , Issue.2 , pp. 985-1019
    • Chordia, T.1    Shivakumar, L.2
  • 11
    • 0038992354 scopus 로고    scopus 로고
    • Momentum, ownership structure, and financial crises: An analysis of asian stock markets
    • Working Paper, University of Texas at Austin
    • Chui, A., Titman, S., Wei, K.C.J., 2000. Momentum, ownership structure, and financial crises: An analysis of asian stock markets. Working Paper, University of Texas at Austin.
    • (2000)
    • Chui, A.1    Titman, S.2    Wei, K.C.J.3
  • 13
    • 8744258405 scopus 로고    scopus 로고
    • Investor psychology and security market under- and over-reactions
    • K. Daniel D. Hirshleifer A. Subrahmanyam Investor psychology and security market under- and over-reactions Journal of Finance 53 1998 1839-1886
    • (1998) Journal of Finance , vol.53 , pp. 1839-1886
    • Daniel, K.1    Hirshleifer, D.2    Subrahmanyam, A.3
  • 14
    • 84900013243 scopus 로고
    • Does the stock market overreact?
    • W. DeBondt R. Thaler Does the stock market overreact? Journal of Finance 40 1985 793-808
    • (1985) Journal of Finance , vol.40 , pp. 793-808
    • DeBondt, W.1    Thaler, R.2
  • 15
    • 38549147867 scopus 로고
    • Common risk factors in the returns on stocks and bonds
    • E. Fama K. French Common risk factors in the returns on stocks and bonds Journal of Financial Economics 33 1993 3-56
    • (1993) Journal of Financial Economics , vol.33 , pp. 3-56
    • Fama, E.1    French, K.2
  • 16
    • 0013413658 scopus 로고    scopus 로고
    • Multifactor explanation of asset pricing anomalies
    • Eugene F. Fama Kenneth R. French Multifactor explanation of asset pricing anomalies Journal of Finance 51 1 1996 55-84
    • (1996) Journal of Finance , vol.51 , Issue.1 , pp. 55-84
    • Fama, E.F.1    French Kenneth, R.2
  • 17
    • 0344153902 scopus 로고    scopus 로고
    • Momentum investing and business cycle risk: Evidence from pole to pole
    • J.M. Griffin Xiuqing Ji J. Spencer Martin Momentum investing and business cycle risk: Evidence from pole to pole Journal of Finance 58 6 2003 2515-2547
    • (2003) Journal of Finance , vol.58 , Issue.6 , pp. 2515-2547
    • Griffin, J.M.1    Ji, X.2    Spencer Martin, J.3
  • 18
    • 0000741932 scopus 로고
    • Momentum strategies, portfolio performance, and herding: A study of mutual fund behavior
    • M. Grinblatt S. Titman R. Wermers Momentum strategies, portfolio performance, and herding: A study of mutual fund behavior American Economic Review 85 1995 1088-1105
    • (1995) American Economic Review , vol.85 , pp. 1088-1105
    • Grinblatt, M.1    Titman, S.2    Wermers, R.3
  • 19
    • 0003904011 scopus 로고    scopus 로고
    • The cross section of expected returns and its relation to past returns: New evidence
    • Working Paper, University of Chicago
    • Grinblatt, M., Moskowitz, T.J., 2003. The cross section of expected returns and its relation to past returns: New evidence. Working Paper, University of Chicago.
    • (2003)
    • Grinblatt, M.1    Moskowitz, T.J.2
  • 20
    • 33847762540 scopus 로고    scopus 로고
    • Momentum strategies: Evidence from Pacific Basin stock markets
    • Fall
    • A. Hameed Y. Kusnadi Momentum strategies: Evidence from Pacific Basin stock markets Journal of Financial Research 25 3, Fall 2002 383-397
    • (2002) Journal of Financial Research , vol.25 , Issue.3 , pp. 383-397
    • Hameed, A.1    Kusnadi, Y.2
  • 22
    • 0012166025 scopus 로고    scopus 로고
    • A unified theory of underreaction, momentum trading, and overreaction in asset markets
    • H. Hong J.C. Stein A unified theory of underreaction, momentum trading, and overreaction in asset markets Journal of Finance 54 1999 2143-2184
    • (1999) Journal of Finance , vol.54 , pp. 2143-2184
    • Hong, H.1    Stein, J.C.2
  • 23
    • 84993907227 scopus 로고
    • Returns to buying winners and selling losers: Implications for stock market efficiency
    • N. Jegadeesh S. Titman Returns to buying winners and selling losers: implications for stock market efficiency Journal of Finance 48 1993 65-91
    • (1993) Journal of Finance , vol.48 , pp. 65-91
    • Jegadeesh, N.1    Titman, S.2
  • 24
    • 21844526648 scopus 로고
    • Overreaction, delayed reaction, and contrarian profits
    • Winter
    • N. Jegadeesh S. Titman Overreaction, delayed reaction, and contrarian profits Review of Financial Studies 8 4, Winter 1995 973-993
    • (1995) Review of Financial Studies , vol.8 , Issue.4 , pp. 973-993
    • Jegadeesh, N.1    Titman, S.2
  • 25
    • 0041075295 scopus 로고    scopus 로고
    • Profitability of momentum strategies: An evaluation of alternative explanations
    • N. Jegadeesh S. Titman Profitability of momentum strategies: An evaluation of alternative explanations Journal of Finance 56 2001 699-720
    • (2001) Journal of Finance , vol.56 , pp. 699-720
    • Jegadeesh, N.1    Titman, S.2
  • 26
    • 0036101144 scopus 로고    scopus 로고
    • Cross-sectional and time-series determinants of momentum returns
    • N. Jegadeesh S. Titman Cross-sectional and time-series determinants of momentum returns Review of Financial Studies 15 1 2002 143-157
    • (2002) Review of Financial Studies , vol.15 , Issue.1 , pp. 143-157
    • Jegadeesh, N.1    Titman, S.2
  • 27
    • 0036106308 scopus 로고    scopus 로고
    • Contrarian and momentum strategies in the China stock market: 1993-2000
    • J. Kang M. Liu S. Xiaoyan Ni Contrarian and momentum strategies in the China stock market: 1993-2000 Pacific Basin Finance Journal 10 3 2002 243-265
    • (2002) Pacific Basin Finance Journal , vol.10 , Issue.3 , pp. 243-265
    • Kang, J.1    Liu, M.2    Xiaoyan Ni, S.3
  • 28
    • 2942599804 scopus 로고    scopus 로고
    • Are momentum profits robust to trading costs?
    • R.A. Korajczyk R. Sadka Are momentum profits robust to trading costs? Journal of Finance 59 3 2004 139-182
    • (2004) Journal of Finance , vol.59 , Issue.3 , pp. 139-182
    • Korajczyk, R.A.1    Sadka, R.2
  • 29
    • 84993888629 scopus 로고
    • Another look at the cross-section of expected stock returns
    • S. Kothari J. Shanken R. Sloan Another look at the cross-section of expected stock returns Journal of Finance 50 1995 185-224
    • (1995) Journal of Finance , vol.50 , pp. 185-224
    • Kothari, S.1    Shanken, J.2    Sloan, R.3
  • 33
    • 84963088616 scopus 로고
    • Fads, martingales and market efficiency
    • B. Lehmann Fads, martingales and market efficiency Quarterly Journal of Economics 105 1990 1-28
    • (1990) Quarterly Journal of Economics , vol.105 , pp. 1-28
    • Lehmann, B.1
  • 35
    • 0001173683 scopus 로고
    • When are contrarian profits due to stock market overreaction?
    • A. Lo C. MacKinlay When are contrarian profits due to stock market overreaction? Review of Financial Studies 3 1990 175-206
    • (1990) Review of Financial Studies , vol.3 , pp. 175-206
    • Lo, A.1    MacKinlay, C.2
  • 36
    • 84916929634 scopus 로고
    • Risk, uncertainty, and divergence of opinion
    • Edward M. Miller Risk, uncertainty, and divergence of opinion Journal of Finance 32 4 1977 1151-1168
    • (1977) Journal of Finance , vol.32 , Issue.4 , pp. 1151-1168
    • Miller Edward, M.1
  • 37
    • 0000706085 scopus 로고
    • A simple positive definite, heteroscedastocity and autocorrelation consistent covariance matrix
    • W. Newey K. West A simple positive definite, heteroscedastocity and autocorrelation consistent covariance matrix Econometrica 55 1987 703-705
    • (1987) Econometrica , vol.55 , pp. 703-705
    • Newey, W.1    West, K.2
  • 38
    • 0000923251 scopus 로고
    • Comovements in national stock market returns: Evidence of predictability, but not cointegrated
    • Anthony J. Richards Comovements in national stock market returns: evidence of predictability, but not cointegrated Journal of Monetary Economics 36 3 1995 631-654
    • (1995) Journal of Monetary Economics , vol.36 , Issue.3 , pp. 631-654
    • Richards Anthony, J.1
  • 39
    • 0000739971 scopus 로고    scopus 로고
    • Winner-loser reversals in national stock market indices: Can they be explained?
    • Anthony J. Richards Winner-loser reversals in national stock market indices: Can they be explained? Journal of Finance 52 5 1997 2129-2144
    • (1997) Journal of Finance , vol.52 , Issue.5 , pp. 2129-2144
    • Richards Anthony, J.1
  • 40
    • 0040165125 scopus 로고    scopus 로고
    • International momentum strategies
    • G. Rouwenhorst International momentum strategies Journal of Finance 53 1998 267-284
    • (1998) Journal of Finance , vol.53 , pp. 267-284
    • Rouwenhorst, G.1
  • 42
    • 52649103582 scopus 로고    scopus 로고
    • Earnings surprises, growth expectations, and stock returns or don't let an earnings torpedo sink your portfolio
    • D.J. Skinner R.G. Sloan Earnings surprises, growth expectations, and stock returns or don't let an earnings torpedo sink your portfolio Review of Accounting Studies 7 2/3 2002 289-312
    • (2002) Review of Accounting Studies , vol.7 , Issue.2-3 , pp. 289-312
    • Skinner, D.J.1    Sloan, R.G.2
  • 43
    • 0346111529 scopus 로고    scopus 로고
    • European price momentum and analysts behavior
    • R. Van Dijk F. Huibers European price momentum and analysts behavior Financial Analysts Journal 58 2 2002 96-105
    • (2002) Financial Analysts Journal , vol.58 , Issue.2 , pp. 96-105
    • Van Dijk, R.1    Huibers, F.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.