【Abstract】
This study investigate the profitability of momentum and reversal strategies of different investment horizons in the Chinese stock market. The findings indicate that momentum strategies are profitable for investment horizons less than one week. For longer investment horizons, reversal strategies are profitable. This result is very different from the US market, where profitable momentum strategies yield to much longer investment horizons. We show that this is because investors are generally overreact to the company cash flow news in China while underreact to cash flow news in the US.
【Keywords】
Momentum, reversal, overreaction, stock market
【Authors】
Jianhua Gang, Senior Research Fellow of IMI; School of Finance, Renmin University of China, China;
Zongxin Qian, Senior Research Fellow of IMI; School of Finance, Renmin University of China, China;
Tiange Xu, Hanqing Advanced Institute of Economics and Finance, Renmin University of China, China.