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- W2003102904 abstract "While the vast majority of the literature reports momentum profitability to be overwhelming in the U.S. market and widespread in other countries, this paper finds that the pure momentum strategy in general does not yield excess profitability in the Chinese stock markets. We find instead strong mean reversion with an average half-life slightly shorter than one year. A pure contrarian investment strategy produces positive excess returns and in general outperforms the pure momentum strategy. Furthermore, momentum may interact with mean reversion. A strategy based on the rolling-regression parameter estimates of the model combining mean reversion and momentum generates both statistically and economically significant excess returns. The combined strategy outperforms both pure momentum and pure contrarian strategies. We conduct a number of robustness tests and confirm the basic findings. Collectively, our results seem to support the overreaction hypothesis." @default.
- W2003102904 created "2016-06-24" @default.
- W2003102904 creator A5056115615 @default.
- W2003102904 date "2004-01-01" @default.
- W2003102904 modified "2023-09-23" @default.
- W2003102904 title "Momentum Trading, Mean Reversal and Overreaction in Chinese Stock Market" @default.
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- W2003102904 doi "https://doi.org/10.2139/ssrn.1009054" @default.
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