Momentum Strategies: Evidence from Pacific Basin Stock Market

• Main Authors: KUSNADI, Yuanto, Hameed, Allaudeen
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2002
• Subjects: Accounting
• Online Access: https://ink.library.smu.edu.sg/soa_research/1154
• Institution: Singapore Management University

We investigate the profitability of momentum investment strategy in six Asian stock markets. Unrestricted momentum investment strategies do not yield significant momentum profits. Although we find that a diversified country-neutral strategy generates small but statistically significant returns during 1981–1994, when we control for size and turnover effects we find that the country-neutral profits dissipate. Our evidence suggests that the factors that contribute to the momentum phenomenon in the United States are not prevalent in the Asian markets.