15
Views
0
CrossRef citations to date
0
Altmetric
Research Article

Momentum trading: How it differs among investor segments

ORCID Icon
Received 09 Jan 2024, Accepted 08 May 2024, Published online: 20 Jun 2024

References

  • An, L. (2016). Asset pricing when traders sell extreme winners and losers. In Review of Financial Studies, 29(3), 823–861. Oxford University Press. https://doi.org/10.1093/rfs/hhv060
  • Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and Momentum Everywhere. The Journal of Finance, 68(3), 929–985. https://doi.org/10.1111/jofi.12021
  • Badrinath, S. G., & Wahal, S. (2002). Momentum trading by institutions. The Journal of Finance, 57(6), 2449–2478. Advance online publication. https://doi.org/10.1111/1540-6261.00502
  • Baltzer, M., Jank, S., & Smajlbegovic, E. (2019). Who trades on momentum? Journal of Financial Markets, 42, 56–74. https://doi.org/10.1016/j.finmar.2018.08.003
  • Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49(3), 307–343. Advance online publication. https://doi.org/10.1016/S0304-405X(98)00027-0
  • Ben-David, I., & Hirshleifer, D. (2012). Are investors really reluctant to realize their losses? Trading responses to past returns and the disposition effect. In Review of Financial Studies, 25(8), 2485–2532. https://doi.org/10.1093/rfs/hhs077
  • Bennett, J. A., Sias, R. W., & Starks, L. T. (2003). Greener Pastures and the Impact of Dynamic Institutional Preferences. Review of Financial Studies, 16(4), 1203–1238. Advance online publication. https://doi.org/10.1093/rfs/hhg040
  • Berk, J. B., Green, R. C., & Naik, V. (1999). Optimal investment, growth options, and security returns. The Journal of Finance, 54(5), 1553–1607. Advance online publication. https://doi.org/10.1111/0022-1082.00161
  • Bloomfield, R., O’Hara, M., & Saar, G. (2009). How noise trading affects markets: An experimental analysis. Review of Financial Studies, 22(6), 2275–2302. https://doi.org/10.1093/rfs/hhn102
  • Bradrania, R., & Wu, W. (2023). Foreign institutions, local investors and momentum trading. Journal of Empirical Finance, 73, 40–64. https://doi.org/10.1016/j.jempfin.2023.05.005
  • Campbell, J. Y., Ramadorai, T., & Ranish, B. (2014). Getting Better or Feeling Better? How Equity Investors Respond to Investment Experience. National Bureau of Economic Research Working Paper Series, No. 20000. https://doi.org/10.3386/w20000
  • Che, L. (2018). Investor types and stock return volatility. Journal of Empirical Finance, 47, 139–161. https://doi.org/10.1016/j.jempfin.2018.03.005
  • Chiang, S. J., Tsai, L. J., Shu, P. G., & Chen, S. L. (2012). The trading behavior of foreign, domestic institutional, and domestic individual investors: Evidence from the Taiwan stock market. Pacific-Basin Finance Journal, 20(5), 745–754. https://doi.org/10.1016/j.pacfin.2012.03.002
  • Choe, H., Kho, B. C., & Stulz, R. M. (1999). Do foreign investors destabilize stock markets? The Korean experience in 1997. Journal of Financial Economics, 54(2), 227–264. https://doi.org/10.1016/S0304-405X(99)00037-9
  • Chui, A. C. W., Titman, S., & Wei, K. C. J. (2010). Individualism and momentum around the world. The Journal of Finance, 65(1), 361–392. Advance online publication. https://doi.org/10.1111/j.1540-6261.2009.01532.x
  • Chui, A. C. W., & Wei, K. C. J. (2023). Special issue to honor landmarked momentum paper: Preface and selective views on empirical asset pricing research in emerging markets. Pacific-Basin Finance Journal, 82, 102170. https://doi.org/10.1016/j.pacfin.2023.102170
  • Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor psychology and security market under- and overreactions. The Journal of Finance, 53(6), 1839–1885. https://doi.org/10.1111/0022-1082.00077
  • De Bondt, W. F. M., & Thaler, R. (1985). Does the Stock Market Overreact? The Journal of Finance, 40(3), 793–805. https://econpapers.repec.org/RePEc:bla:jfinan:v:40:y:1985:i:3:p:793-805 https://doi.org/10.1111/j.1540-6261.1985.tb05004.x
  • Foster, F., Gallagher, D. R., & Looi, A. (2011). Institutional trading and share returns. Journal of Banking & Finance, 35(12), 3383–3399. https://doi.org/10.1016/j.jbankfin.2011.05.018
  • Fama, E. F. (1965). The Behavior of Stock-Market Prices. The Journal of Business, 38(1), 34. Advance online publication. https://doi.org/10.1086/294743
  • Fama, E. F., & French, K. R. (2012). Size, value, and momentum in international stock returns. Journal of Financial Economics, 105(3), 457–472. https://doi.org/10.1016/j.jfineco.2012.05.011
  • Gompers, P. A., & Metrick, A. (2001). Institutional investors and equity prices. The Quarterly Journal of Economics, 116(1), 229–259. https://doi.org/10.1162/003355301556392
  • Gonçalves, W., & Eid, W. (2017). Sophistication and price impact of foreign investors in the Brazilian stock market. Emerging Markets Review, 33, 102–139. https://doi.org/10.1016/j.ememar.2017.09.006
  • Griffin, J. M., Ji, X., & Martin, J. S. (2003). Momentum investing and business cycle risk: Evidence from Pole to Pole. Journal of Finance, 58(6), 2515–2547. https://doi.org/10.1046/j.1540-6261.2003.00614.x
  • Grinblatt, B. M., Titman, S., & Wermers, R. (1995). Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior. The American Economic Review, 85(5), 1088–1105.
  • Grinblatt, M., & Han, B. (2005). Prospect theory, mental accounting, and momentum. Journal of Financial Economics, 78(2), 311–339. Advance online publication. https://doi.org/10.1016/j.jfineco.2004.10.006
  • Jegadeesh, N., & Titman, S. (1993). Returns to Buying Winners and Selling Losers : Implications for Stock Market Efficiency. The Journal of Finance, 48(1), 65–91. https://doi.org/10.1111/j.1540-6261.1993.tb04702.x
  • Jeon, J. Q., & Moffett, C. M. (2010). Herding by foreign investors and emerging market equity returns: Evidence from Korea. International Review of Economics & Finance, 19(4), 698–710. https://doi.org/10.1016/j.iref.2010.03.001
  • Kahneman, D., & Tversky, A. (1979). Prospect Theory: An Analysis of Decision under Risk. Econometrica, 47(2), 263–291. https://econpapers.repec.org/RePEc:ecm:emetrp:v:47:y:1979:i:2:p:263-91 https://doi.org/10.2307/1914185
  • Kaniel, R., Saar, G., & Titman, S. (2008). Individual investor trading and stock returns. The Journal of Finance, 63(1), 273–310. https://doi.org/10.1111/j.1540-6261.2008.01316.x
  • Karolyi, G. A. (2002). Did the Asian financial crisis scare foreign investors out of Japan? Pacific-Basin Finance Journal, 10(4), 411–442. https://doi.org/10.1016/S0927-538X(02)00067-7
  • Lakonishok, J., Shleifer, A., & Vishny, R. W. (1992). The impact of institutional trading on stock prices. Journal of Financial Economics, 32(1), 23–43. https://doi.org/10.1016/0304-405X(92)90023-Q
  • Ng, L., & Wu, F. (2007). The trading behavior of institutions and individuals in Chinese equity markets. Journal of Banking & Finance, 31(9), 2695–2710. https://doi.org/10.1016/j.jbankfin.2006.10.029
  • Odean, T. (1998). Are investors reluctant to realize their losses? The Journal of Finance, 53(5), 1775–1798. Advance online publication. https://doi.org/10.1111/0022-1082.00072
  • Oh, N. Y., & Parwada, J. T. (2007). Relations between mutual fund flows and stock market returns in Korea. Journal of International Financial Markets, Institutions and Money, 17(2), 140–151. https://doi.org/10.1016/j.intfin.2005.10.001
  • Richards, A. (2005). Big fish in small ponds: The trading behavior and price impact of foreign investors in Asian emerging equity markets. Journal of Financial and Quantitative Analysis, 40(1), 1–27. https://doi.org/10.1017/S0022109000001721
  • Sagi, J. S., & Seasholes, M. S. (2007). Firm-specific attributes and the cross-section of momentum. Journal of Financial Economics, 84(2), 389–434. Advance online publication. https://doi.org/10.1016/j.jfineco.2006.02.002
  • Shefrin, H., & Statman, M. (1985). The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence. The Journal of Finance, 40(3), 777–790. https://doi.org/10.1111/j.1540-6261.1985.tb05002.x
  • Shleifer, A., & Vishny, R. W. (1997). The limits of arbitrage. The Journal of Finance, 52(1), 35–55. Advance online publication. https://doi.org/10.1111/j.1540-6261.1997.tb03807.x
  • Thaler, R. (1980). Toward a positive theory of consumer choice. Journal of Economic Behavior & Organization, 1(1), 39–60. Advance online publication. https://doi.org/10.1016/0167-2681(80)90051-7
  • Ülkü, N. (2015). The interaction between foreigners’ trading and stock market returns in emerging Europe. Journal of Empirical Finance, 33, 243–262. https://doi.org/10.1016/j.jempfin.2015.03.011
  • Vayanos, D., & Woolley, P. (2013). An institutional theory of momentum and reversal. Review of Financial Studies, 26(5), 1087–1145. Advance online publication. https://doi.org/10.1093/rfs/hht014

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.