Concept links and return momentum

• Main Authors: DU, Qianqian, LIANG, Dawei, CHEN, Zilin, TU, Jun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2022
• Subjects: Asset classifications; Category learning; Concept stocks; Momentum effects; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/6827; https://ink.library.smu.edu.sg/context/lkcsb_research/article/7826/viewcontent/ConceptLinksRetureMomentum_av.pdf; https://ink.library.smu.edu.sg/context/lkcsb_research/article/7826/filename/0/type/additional/viewcontent/ConceptLinksRetureMomentum_suppl.pdf
• Institution: Singapore Management University

Unlike traditional asset categories (e.g., industry classifications) that are generally defined clearly, some groups of stocks are tied to certain loosely defined “concepts” (e.g., e-commerce). When investors find it difficult to analyze ambiguous concept-oriented information, information diffuses s...