Momentum life cycle around the world

• Main Authors: LI, Frank Weikai, WEI, K. C. John
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2015
• 主題: Momentum life cycle; International; ETFs; Individualism; Limits to arbitrag; Momentum profits; Corporate Finance; Finance and Financial Management
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/5297; https://ink.library.smu.edu.sg/context/lkcsb_research/article/6296/viewcontent/SSRN_id2565305.pdf
• 機構: Singapore Management University

The momentum life cycle (MLC) hypothesis first proposed by Lee and Swaminathan (2000) applies also to global markets. Early-stage strategies significantly outperform the late-stage and conventional strategies in most countries. Individualism culture is positively associated with late-stage but unrel...