Wen, Hua.
2007. Two Essays On Stock Price Momentum.
Doctoral Dissertation, NUS.
Essay 1: the study argue that the parallels between
the evidence of momentum and synchronicity could be due to the effect of
cross-sectional variation in expected returns, which may arise from both the
risk and the investor’s psychology. The empirical test results show that the
cross-sectional variation in risks contributes to the negative relation between
synchronicity and momentum. Further, it is the industry-risk, as well as other
omitted common-risks from the two-factor model, but not the market-risk, that
contributes to momentum profits. Essay 2: This paper investigates the role of
information efficiency in momentum in the emerging markets. It is interesting
to note that the momentum strategy works particularly well among stocks with
low analyst coverage, decreasing analyst coverage, and high forecast
dispersion. The observed relation between analyst behaviors and momentum is
unrelated to the analyst herding tendency, and it does not fully support the
information uncertainty story.
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