An Explanation of Momentum in Canadian Stocks

Posted: 19 Aug 2005

See all articles by Tony Chieh-tse Hou

Tony Chieh-tse Hou

National Dong Hwa University

Phillip J. McKnight

University of St. Andrews - School of Management

Abstract

This paper examines the drivers of momentum in Canadian stocks. We find that momentum is negatively related to book-to-market and analyst coverage, whereas size appears to play no role in explaining the momentum effect. We further document that analyst coverage is more important than book-to-market in explaining momentum. In contrast to prior research, we find only partial support for the Fama and French (1998) book-to-market argument in that most of the continuation effect is explained by low book-to-market stocks.

Keywords: Momentum, size, book-to-market ratios, analyst coverge, industry, canadian stocks

JEL Classification: G10, G11, G14

Suggested Citation

Hou, Tony Chieh-tse and McKnight, Phillip J., An Explanation of Momentum in Canadian Stocks. Canadian Journal of Administrative Sciences,Vol. 21, No. 4, Available at SSRN: https://ssrn.com/abstract=782544

Tony Chieh-tse Hou (Contact Author)

National Dong Hwa University ( email )

No. 1, Sec. 2, Da Hsueh Rd.
Shoufeng
Hualien, 97401
Taiwan

HOME PAGE: http://faculty.ndhu.edu.tw/~tonycthou/

Phillip J. McKnight

University of St. Andrews - School of Management ( email )

The Gateway
Gateway
St. Andrews, Fife KY16 9SS
United Kingdom

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