Abstract

https://ssrn.com/abstract=2565305
 


 



Momentum Life Cycle around the World and Beyond


Frank Weikai Li


Hong Kong University of Science and Technology - Department of Finance

K.C. John Wei


School of Accounting and Finance, Hong Kong Polytechnic University

August 8, 2016

Asian Finance Association (AsianFA) 2015 Conference Paper

Abstract:     
The momentum life cycle (MLC) hypothesis first proposed by Lee and Swaminathan (2000) applies also to global markets. Early-stage strategies significantly outperform the late-stage and conventional strategies in most countries. Individualism culture is positively associated with late-stage but unrelated to early-stage momentum profitability, suggesting that early- and late-stage momentums are driven by different underlying mechanisms. Consistent with Stein’s (2009) model that arbitrageurs could amplify mispricing, we find that late-stage momentum profits are more pronounced in countries with lower limits to arbitrage. Furthermore, we find that the MLC also applies to exchange traded funds in the United States.

Number of Pages in PDF File: 72

Keywords: Momentum life cycle; International; ETFs; Individualism; Limits to arbitrage; Momentum profits

JEL Classification: G11; G12; G14


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Date posted: February 16, 2015 ; Last revised: September 25, 2016

Suggested Citation

Li, Frank Weikai and Wei, K.C. John, Momentum Life Cycle around the World and Beyond (August 8, 2016). Asian Finance Association (AsianFA) 2015 Conference Paper. Available at SSRN: https://ssrn.com/abstract=2565305 or http://dx.doi.org/10.2139/ssrn.2565305

Contact Information

Frank Weikai Li
Hong Kong University of Science and Technology - Department of Finance ( email )
Clear Water Bay
Kowloon
Hong Kong
Kuo-Chiang (John) Wei (Contact Author)
School of Accounting and Finance, Hong Kong Polytechnic University ( email )
School of Accounting and Finance
Hong Kong Polytechnic University
Hung Hom, Kowloon
Hong Kong
852 2766 4953 (Phone)
852 2330 9845 (Fax)
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