Information Uncertainty and the Momentum Effect

• المؤلف الرئيسي: CHER, Nicholas Liu Chang
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2008
• الموضوعات: growth stocks; numerical analysis; profit; rate of return; stock exchanges; surplus value; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/etd_coll/22; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1021&context=etd_coll

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...