Concept links and return momentum
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...
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sg-smu-ink.lkcsb_research-78262021-11-05T06:39:25Z Concept links and return momentum DU, Qianqian LIANG, Dawei CHEN, Zilin TU, Jun 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 slowly, creating “concept momentum”. Based on unique concept data in the Chinese stock market, this study constructs a concept-momentum strategy that involves buying stocks from past winning concepts and selling stocks from past losing concepts, which can generate pronounced abnormal returns. Neither risk factors, firm-level momentum, nor industry-level momentum can explain concept momentum. Furthermore, we find that both the underreaction and cross-stock lead-lag effect channels can cause slow information diffusion and drive concept momentum. Moreover, the concept momentum effect is stronger for relatively ambiguous concepts, for concepts that attract less investor attention, and following high-sentiment periods. 2022-01-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/lkcsb_research/6827 info:doi/10.1016/j.jbankfin.2021.106329 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 http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Asset classifications Category learning Concept stocks Momentum effects Finance and Financial Management Portfolio and Security Analysis |
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Asset classifications Category learning Concept stocks Momentum effects Finance and Financial Management Portfolio and Security Analysis DU, Qianqian LIANG, Dawei CHEN, Zilin TU, Jun Concept links and return momentum |
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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 slowly, creating “concept momentum”. Based on unique concept data in the Chinese stock market, this study constructs a concept-momentum strategy that involves buying stocks from past winning concepts and selling stocks from past losing concepts, which can generate pronounced abnormal returns. Neither risk factors, firm-level momentum, nor industry-level momentum can explain concept momentum. Furthermore, we find that both the underreaction and cross-stock lead-lag effect channels can cause slow information diffusion and drive concept momentum. Moreover, the concept momentum effect is stronger for relatively ambiguous concepts, for concepts that attract less investor attention, and following high-sentiment periods. |
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DU, Qianqian LIANG, Dawei CHEN, Zilin TU, Jun |
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DU, Qianqian LIANG, Dawei CHEN, Zilin TU, Jun |
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DU, Qianqian |
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Concept links and return momentum |
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Concept links and return momentum |
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Concept links and return momentum |
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Concept links and return momentum |
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Concept links and return momentum |
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concept links and return momentum |
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Institutional Knowledge at Singapore Management University |
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2022 |
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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 |
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