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Firm Attributes and Momentum Strategies in China

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  • Lin Yu

Abstract

This study investigates the momentum and reversal phenomenon in China, based on the most up-to-date data. It shows that Chinese stock market experiences barely momentum effect, but the reversal effect is increasingly significant in the long horizon. Additionally, two risk proxies, size and research and development expense, are employed to explain momentum and reversal effect. It shows that the returns of large stocks are more likely to be persistent, while that of small firms are more likely to reverse. Moreover, R&D investment reduces reversal effect, especially for small firms.

Suggested Citation

  • Lin Yu, 2017. "Firm Attributes and Momentum Strategies in China," Chinese Economy, Taylor & Francis Journals, vol. 50(1), pages 59-77, January.
    • Handle: RePEc:mes:chinec:v:50:y:2017:i:1:p:59-77
    DOI: 10.1080/10971475.2016.1211905
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