Information Uncertainty and the Momentum Effect

• Main Author: CHER, Nicholas Liu Chang
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2008
• Subjects: growth stocks; numerical analysis; profit; rate of return; stock exchanges; surplus value; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/etd_coll/22; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1021&context=etd_coll
• Institution: Singapore Management University

I identify simple proxies for uncertainty and attempt to determine if the returns to a momentum strategy vary with these proxies. The proxies identified include the stock's daily 6-month historical return volatility, the magnitude of alpha in a 6-month historical regression of the stock's...