Does the Momentum Strategy Work at the Industry Level? Evidence from the Chinese Stock Market

References

• Barberis, N., A. Shleifer, and R. Vishny. 1998. A model of investor sentiment. Journal of Financial Economics 49 (3):307–43. doi:10.1016/S0304-405X(98)00027-0.
   Web of Science ®Google Scholar
• Chan, L. K., J. Lakonishok, and T. Sougiannis. 2001. The stock market valuation of research and development expenditures. The Journal of Finance 56 (6):2431–56. doi:10.1111/0022-1082.00411.
   Web of Science ®Google Scholar
• Chui, A. C., S. Titman, and K. J. Wei. 2003. Intra-industry momentum: The case of reits. Journal of Financial Markets 6 (3):363–87. doi:10.1016/S1386-4181(03)00002-8.
   Web of Science ®Google Scholar
• Chui, A. C., S. Titman, and K. J. Wei. 2010. Individualism and momentum around the world. The Journal of Finance 65 (1):361–92. doi:10.1111/j.1540-6261.2009.01532.x.
   Web of Science ®Google Scholar
• Daniel, K., D. Hirshleifer, and A. Subrahmanyam. 1998. Investor psychology and security market under- and overreactions. The Journal of Finance 53 (6):1839–85. doi:10.1111/0022-1082.00077.
   Web of Science ®Google Scholar
• Daniel, K., and S. Titman. 1997. Evidence on the characteristics of cross sectional variation in stock returns. The Journal of Finance 52 (1):1–33. doi:10.1111/j.1540-6261.1997.tb03806.x.
   Web of Science ®Google Scholar
• Fama, E. F., and K. R. French. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33 (1):3–56. doi:10.1016/0304-405X(93)90023-5.
   Web of Science ®Google Scholar
• Fama, E. F., and K. R. French. 1996. Multifactor explanations of asset pricing anomalies. The Journal of Finance 51 (1):55–84. doi:10.1111/j.1540-6261.1996.tb05202.x.
   Web of Science ®Google Scholar
• Fama, E. F., and K. R. French. 2000. Forecasting profitability and earnings*. The Journal of Business 73 (2):161–75. doi:10.1086/jb.2000.73.issue-2.
   Web of Science ®Google Scholar
• Fama, E. F., and K. R. French. 2008. Dissecting anomalies. The Journal of Finance 63 (4):1653–78. doi:10.1111/j.1540-6261.2008.01371.x.
   Web of Science ®Google Scholar
• Fama, E. F., and J. D. MacBeth. 1973. Risk, return, and equilibrium: Empirical tests. Journal of Political Economy 81 (3):607–36.
   Web of Science ®Google Scholar
• Fan, S., S. Opsal, and L. Yu. 2015. Equity anomalies and idiosyncratic risk around the world. Multinational Finance Journal 19 (1):33–75. doi:10.17578/19.
   Google Scholar
• Gaspar, J.-M., and M. Massa. 2006. Idiosyncratic volatility and product market competition*. The Journal of Business 79 (6):3125–52. doi:10.1086/524026.
   Google Scholar
• Griffin, J. M., X. Ji, and J. S. Martin. 2003. Momentum investing and business cycle risk: Evidence from pole to pole. The Journal of Finance 58 (6):2515–47. doi:10.1046/j.1540-6261.2003.00614.x.
   Web of Science ®Google Scholar
• Grundy, B. D., and J. S. Martin. 2001. Understanding the nature of the risks and the source of the rewards to momentum investing. Review of Financial Studies 14 (1):29–78. doi:10.1093/rfs/14.1.29.
   Web of Science ®Google Scholar
• Gu, L. 2015. Product market competition, R&D investment and stock returns. Journal of Financial Economics 119 (2):441–55. doi:10.1016/j.jfineco.2015.09.008.
   Web of Science ®Google Scholar
• Hadlock, C. J., and J. R. Pierce. 2010. New evidence on measuring financial constraints: Moving beyond the kz index. Review of Financial Studies 23 (5):1909–40. doi:10.1093/rfs/hhq009.
   Web of Science ®Google Scholar
• Hong, H., T. Lim, and J. C. Stein. 2000. Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies. The Journal of Finance 55 (1):265–95. doi:10.1111/0022-1082.00206.
   Web of Science ®Google Scholar
• Hong, H., and J. C. Stein. 1999. A unified theory of underreaction, momentum trading, and overreaction in asset markets. The Journal of Finance 54 (6):2143–84. doi:10.1111/0022-1082.00184.
   Web of Science ®Google Scholar
• Hou, K. 2007. Industry information diffusion and the lead-lag effect in stock returns. Review of Financial Studies 20 (4):1113–38. doi:10.1093/revfin/hhm003.
   Web of Science ®Google Scholar
• Hou, K., and D. T. Robinson. 2006. Industry concentration and average stock returns. The Journal of Finance 61 (4):1927–56. doi:10.1111/j.1540-6261.2006.00893.x.
   Web of Science ®Google Scholar
• Jegadeesh, N. 1990. Evidence of predictable behavior of security returns. The Journal of Finance 45 (3):881–98. doi:10.1111/j.1540-6261.1990.tb05110.x.
   Web of Science ®Google Scholar
• Jegadeesh, N., and S. Titman. 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance 48 (1):65–91. doi:10.1111/j.1540-6261.1993.tb04702.x.
   Web of Science ®Google Scholar
• Jegadeesh, N., and S. Titman. 1995. Overreaction, delayed reaction, and contrarian profits. Review of Financial Studies 8 (4):973–93. doi:10.1093/rfs/8.4.973.
   Web of Science ®Google Scholar
• Jiang, G., C. M. Lee, and Y. Zhang. 2005. Information uncertainty and expected returns. Review of Accounting Studies 10 (2–3):185–221. doi:10.1007/s11142-005-1528-2.
   Web of Science ®Google Scholar
• Kang, J., M.-H. Liu, and S. X. Ni. 2002. Contrarian and momentum strategies in the China stock market: 1993–2000. Pacific-Basin Finance Journal 10 (3):243–65. doi:10.1016/S0927-538X(02)00046-X.
   Google Scholar
• Kaplan, S. N., and L. Zingales. 1997. Do investment-cash flow sensitivities provide useful measures of financing constraints? The Quarterly Journal of Economics 112 (1):169–215. doi:10.1162/003355397555163.
   Web of Science ®Google Scholar
• Knott, A. M., and H. E. Posen. 2003. Does competition increase innovation? New evidence from old industries. Mack Center for Technological Innovation Working Paper.
   Google Scholar
• Lehmann, B. N. 1990. Fads, martingales, and market efficiency. The Quarterly Journal of Economics 105 (1):1–28. doi:10.2307/2937816.
   Web of Science ®Google Scholar
• Leippold, M., and H. Lohre. 2012. International price and earnings momentum. The European Journal of Finance 18 (6):535–73. doi:10.1080/1351847X.2011.628683.
   Web of Science ®Google Scholar
• Li, B., J. Qiu, and Y. Wu. 2010. Momentum and seasonality in Chinese stock markets. Journal of Money Investment and Banking (17):24–36.
   Google Scholar
• Li, D. 2011. Financial constraints, R&D investment, and stock returns. Review of Financial Studies 24 (9):2974–3007. doi:10.1093/rfs/hhr043.
   Web of Science ®Google Scholar
• Lo, A. W., and A. C. MacKinlay. 1990. When are contrarian profits due to stock market overreaction? Review of Financial Studies 3 (2):175–205. doi:10.1093/rfs/3.2.175.
   Web of Science ®Google Scholar
• Loury, G. C. 1979. Market structure and innovation. The Quarterly Journal of Economics 93 (3):395–410. doi:10.2307/1883165.
   Web of Science ®Google Scholar
• Moskowitz, T. J., and M. Grinblatt. 1999. Do industries explain momentum? The Journal of Finance 54 (4):1249–90. doi:10.1111/0022-1082.00146.
   Web of Science ®Google Scholar
• Mun, J. C., G. M. Vasconcellos, and R. Kish. 1999. Tests of the contrarian investment strategy evidence from the French and German stock markets. International Review of Financial Analysis 8 (3):215–34. doi:10.1016/S1057-5219(99)00016-2.
   Google Scholar
• Pástor, L., and V. Pietro. 2003. Stock valuation and learning about profitability. The Journal of Finance 58 (5):1749–90. doi:10.1111/1540-6261.00587.
   Web of Science ®Google Scholar
• Reinganum, J. F. 1985. Innovation and industry evolution. The Quarterly Journal of Economics 100 (1):81–99. doi:10.2307/1885736.
   Web of Science ®Google Scholar
• Rouwenhorst, K. G. 1998. International momentum strategies. The Journal of Finance 53 (1):267–84. doi:10.1111/0022-1082.95722.
   Web of Science ®Google Scholar
• Shumway, T., and G. Wu. 2005. Does disposition drive momentum? In AFA 2006 Boston Meetings Paper, doi:10.2139/ssrn.771486.
   Google Scholar
• Wang, C. 2004. Relative strength strategies in china’s stock market: 1994–2000. Pacific-Basin Finance Journal 12 (2):159–77. doi:10.1016/S0927-538X(03)00043-X.
   Google Scholar
• Whited, T. M., and G. Wu. 2006. Financial constraints risk. Review of Financial Studies 19 (2):531–59. doi:10.1093/rfs/hhj012.
   Web of Science ®Google Scholar
• Zhang, X. 2006. Information uncertainty and stock returns. The Journal of Finance 61 (1):105–37. doi:10.1111/j.1540-6261.2006.00831.x.
   Web of Science ®Google Scholar