BM(book-to-market ratio) factor: medium-term momentum and long-term reversal

Abstract To explain medium-term momentum and long-term reversal, we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio. According to the CAPM model’s zero explanatory ability with respect to stock market anomalies, we obtain an anomaly interpretati...
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Autor*in:	Wei-qi, Liu [verfasserIn] Jingxing, Zhang

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	2018

Schlagwörter:	Stock market volatility medium-term momentum long-term reversal holding period formation period book-to-market ratio return on equity

Anmerkung:	© The Author(s). 2018

Übergeordnetes Werk:	Enthalten in: Financial innovation - Heidelberg : SpringerOpen, 2015, 4(2018), 1 vom: 24. Jan.
Übergeordnetes Werk:	volume:4 ; year:2018 ; number:1 ; day:24 ; month:01

Links:	Volltext

DOI / URN:	10.1186/s40854-017-0085-6

Katalog-ID:	SPR037931296

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520			\|a Abstract To explain medium-term momentum and long-term reversal, we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio. According to the CAPM model’s zero explanatory ability with respect to stock market anomalies, we obtain an anomaly interpretative model. This study shows that this anomaly interpretative model can explain stock market perceptions and medium-term momentum. Most importantly, BM is a critical factor in the model’s explanatory ability. We present a robustness test, which includes selecting new sample data, adding new auxiliary variables, changing sample years, and adding industry fixed effects. In general, the BM effect does have considerable explanatory power in medium-term momentum and long-term reversal.
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allfields	10.1186/s40854-017-0085-6 doi (DE-627)SPR037931296 (SPR)s40854-017-0085-6-e DE-627 ger DE-627 rakwb eng Wei-qi, Liu verfasserin aut BM(book-to-market ratio) factor: medium-term momentum and long-term reversal 2018 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © The Author(s). 2018 Abstract To explain medium-term momentum and long-term reversal, we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio. According to the CAPM model’s zero explanatory ability with respect to stock market anomalies, we obtain an anomaly interpretative model. This study shows that this anomaly interpretative model can explain stock market perceptions and medium-term momentum. Most importantly, BM is a critical factor in the model’s explanatory ability. We present a robustness test, which includes selecting new sample data, adding new auxiliary variables, changing sample years, and adding industry fixed effects. In general, the BM effect does have considerable explanatory power in medium-term momentum and long-term reversal. Stock market volatility (dpeaa)DE-He213 medium-term momentum (dpeaa)DE-He213 long-term reversal (dpeaa)DE-He213 holding period (dpeaa)DE-He213 formation period (dpeaa)DE-He213 book-to-market ratio (dpeaa)DE-He213 return on equity (dpeaa)DE-He213 Jingxing, Zhang aut Enthalten in Financial innovation Heidelberg : SpringerOpen, 2015 4(2018), 1 vom: 24. Jan. (DE-627)827572417 (DE-600)2824759-0 2199-4730 nnns volume:4 year:2018 number:1 day:24 month:01 https://dx.doi.org/10.1186/s40854-017-0085-6 kostenfrei Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 4 2018 1 24 01
spelling	10.1186/s40854-017-0085-6 doi (DE-627)SPR037931296 (SPR)s40854-017-0085-6-e DE-627 ger DE-627 rakwb eng Wei-qi, Liu verfasserin aut BM(book-to-market ratio) factor: medium-term momentum and long-term reversal 2018 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © The Author(s). 2018 Abstract To explain medium-term momentum and long-term reversal, we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio. According to the CAPM model’s zero explanatory ability with respect to stock market anomalies, we obtain an anomaly interpretative model. This study shows that this anomaly interpretative model can explain stock market perceptions and medium-term momentum. Most importantly, BM is a critical factor in the model’s explanatory ability. We present a robustness test, which includes selecting new sample data, adding new auxiliary variables, changing sample years, and adding industry fixed effects. In general, the BM effect does have considerable explanatory power in medium-term momentum and long-term reversal. Stock market volatility (dpeaa)DE-He213 medium-term momentum (dpeaa)DE-He213 long-term reversal (dpeaa)DE-He213 holding period (dpeaa)DE-He213 formation period (dpeaa)DE-He213 book-to-market ratio (dpeaa)DE-He213 return on equity (dpeaa)DE-He213 Jingxing, Zhang aut Enthalten in Financial innovation Heidelberg : SpringerOpen, 2015 4(2018), 1 vom: 24. Jan. (DE-627)827572417 (DE-600)2824759-0 2199-4730 nnns volume:4 year:2018 number:1 day:24 month:01 https://dx.doi.org/10.1186/s40854-017-0085-6 kostenfrei Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 4 2018 1 24 01
allfields_unstemmed	10.1186/s40854-017-0085-6 doi (DE-627)SPR037931296 (SPR)s40854-017-0085-6-e DE-627 ger DE-627 rakwb eng Wei-qi, Liu verfasserin aut BM(book-to-market ratio) factor: medium-term momentum and long-term reversal 2018 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © The Author(s). 2018 Abstract To explain medium-term momentum and long-term reversal, we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio. According to the CAPM model’s zero explanatory ability with respect to stock market anomalies, we obtain an anomaly interpretative model. This study shows that this anomaly interpretative model can explain stock market perceptions and medium-term momentum. Most importantly, BM is a critical factor in the model’s explanatory ability. We present a robustness test, which includes selecting new sample data, adding new auxiliary variables, changing sample years, and adding industry fixed effects. In general, the BM effect does have considerable explanatory power in medium-term momentum and long-term reversal. Stock market volatility (dpeaa)DE-He213 medium-term momentum (dpeaa)DE-He213 long-term reversal (dpeaa)DE-He213 holding period (dpeaa)DE-He213 formation period (dpeaa)DE-He213 book-to-market ratio (dpeaa)DE-He213 return on equity (dpeaa)DE-He213 Jingxing, Zhang aut Enthalten in Financial innovation Heidelberg : SpringerOpen, 2015 4(2018), 1 vom: 24. Jan. (DE-627)827572417 (DE-600)2824759-0 2199-4730 nnns volume:4 year:2018 number:1 day:24 month:01 https://dx.doi.org/10.1186/s40854-017-0085-6 kostenfrei Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 4 2018 1 24 01
allfieldsGer	10.1186/s40854-017-0085-6 doi (DE-627)SPR037931296 (SPR)s40854-017-0085-6-e DE-627 ger DE-627 rakwb eng Wei-qi, Liu verfasserin aut BM(book-to-market ratio) factor: medium-term momentum and long-term reversal 2018 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © The Author(s). 2018 Abstract To explain medium-term momentum and long-term reversal, we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio. According to the CAPM model’s zero explanatory ability with respect to stock market anomalies, we obtain an anomaly interpretative model. This study shows that this anomaly interpretative model can explain stock market perceptions and medium-term momentum. Most importantly, BM is a critical factor in the model’s explanatory ability. We present a robustness test, which includes selecting new sample data, adding new auxiliary variables, changing sample years, and adding industry fixed effects. In general, the BM effect does have considerable explanatory power in medium-term momentum and long-term reversal. Stock market volatility (dpeaa)DE-He213 medium-term momentum (dpeaa)DE-He213 long-term reversal (dpeaa)DE-He213 holding period (dpeaa)DE-He213 formation period (dpeaa)DE-He213 book-to-market ratio (dpeaa)DE-He213 return on equity (dpeaa)DE-He213 Jingxing, Zhang aut Enthalten in Financial innovation Heidelberg : SpringerOpen, 2015 4(2018), 1 vom: 24. Jan. (DE-627)827572417 (DE-600)2824759-0 2199-4730 nnns volume:4 year:2018 number:1 day:24 month:01 https://dx.doi.org/10.1186/s40854-017-0085-6 kostenfrei Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 4 2018 1 24 01
allfieldsSound	10.1186/s40854-017-0085-6 doi (DE-627)SPR037931296 (SPR)s40854-017-0085-6-e DE-627 ger DE-627 rakwb eng Wei-qi, Liu verfasserin aut BM(book-to-market ratio) factor: medium-term momentum and long-term reversal 2018 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © The Author(s). 2018 Abstract To explain medium-term momentum and long-term reversal, we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio. According to the CAPM model’s zero explanatory ability with respect to stock market anomalies, we obtain an anomaly interpretative model. This study shows that this anomaly interpretative model can explain stock market perceptions and medium-term momentum. Most importantly, BM is a critical factor in the model’s explanatory ability. We present a robustness test, which includes selecting new sample data, adding new auxiliary variables, changing sample years, and adding industry fixed effects. In general, the BM effect does have considerable explanatory power in medium-term momentum and long-term reversal. Stock market volatility (dpeaa)DE-He213 medium-term momentum (dpeaa)DE-He213 long-term reversal (dpeaa)DE-He213 holding period (dpeaa)DE-He213 formation period (dpeaa)DE-He213 book-to-market ratio (dpeaa)DE-He213 return on equity (dpeaa)DE-He213 Jingxing, Zhang aut Enthalten in Financial innovation Heidelberg : SpringerOpen, 2015 4(2018), 1 vom: 24. Jan. (DE-627)827572417 (DE-600)2824759-0 2199-4730 nnns volume:4 year:2018 number:1 day:24 month:01 https://dx.doi.org/10.1186/s40854-017-0085-6 kostenfrei Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 4 2018 1 24 01
language	English
source	Enthalten in Financial innovation 4(2018), 1 vom: 24. Jan. volume:4 year:2018 number:1 day:24 month:01
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topic_facet	Stock market volatility medium-term momentum long-term reversal holding period formation period book-to-market ratio return on equity
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container_title	Financial innovation
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author	Wei-qi, Liu
spellingShingle	Wei-qi, Liu misc Stock market volatility misc medium-term momentum misc long-term reversal misc holding period misc formation period misc book-to-market ratio misc return on equity BM(book-to-market ratio) factor: medium-term momentum and long-term reversal
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topic_title	BM(book-to-market ratio) factor: medium-term momentum and long-term reversal Stock market volatility (dpeaa)DE-He213 medium-term momentum (dpeaa)DE-He213 long-term reversal (dpeaa)DE-He213 holding period (dpeaa)DE-He213 formation period (dpeaa)DE-He213 book-to-market ratio (dpeaa)DE-He213 return on equity (dpeaa)DE-He213
topic	misc Stock market volatility misc medium-term momentum misc long-term reversal misc holding period misc formation period misc book-to-market ratio misc return on equity
topic_unstemmed	misc Stock market volatility misc medium-term momentum misc long-term reversal misc holding period misc formation period misc book-to-market ratio misc return on equity
topic_browse	misc Stock market volatility misc medium-term momentum misc long-term reversal misc holding period misc formation period misc book-to-market ratio misc return on equity
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title	BM(book-to-market ratio) factor: medium-term momentum and long-term reversal
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title_full	BM(book-to-market ratio) factor: medium-term momentum and long-term reversal
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title_sort	bm(book-to-market ratio) factor: medium-term momentum and long-term reversal
title_auth	BM(book-to-market ratio) factor: medium-term momentum and long-term reversal
abstract	Abstract To explain medium-term momentum and long-term reversal, we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio. According to the CAPM model’s zero explanatory ability with respect to stock market anomalies, we obtain an anomaly interpretative model. This study shows that this anomaly interpretative model can explain stock market perceptions and medium-term momentum. Most importantly, BM is a critical factor in the model’s explanatory ability. We present a robustness test, which includes selecting new sample data, adding new auxiliary variables, changing sample years, and adding industry fixed effects. In general, the BM effect does have considerable explanatory power in medium-term momentum and long-term reversal. © The Author(s). 2018
abstractGer	Abstract To explain medium-term momentum and long-term reversal, we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio. According to the CAPM model’s zero explanatory ability with respect to stock market anomalies, we obtain an anomaly interpretative model. This study shows that this anomaly interpretative model can explain stock market perceptions and medium-term momentum. Most importantly, BM is a critical factor in the model’s explanatory ability. We present a robustness test, which includes selecting new sample data, adding new auxiliary variables, changing sample years, and adding industry fixed effects. In general, the BM effect does have considerable explanatory power in medium-term momentum and long-term reversal. © The Author(s). 2018
abstract_unstemmed	Abstract To explain medium-term momentum and long-term reversal, we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio. According to the CAPM model’s zero explanatory ability with respect to stock market anomalies, we obtain an anomaly interpretative model. This study shows that this anomaly interpretative model can explain stock market perceptions and medium-term momentum. Most importantly, BM is a critical factor in the model’s explanatory ability. We present a robustness test, which includes selecting new sample data, adding new auxiliary variables, changing sample years, and adding industry fixed effects. In general, the BM effect does have considerable explanatory power in medium-term momentum and long-term reversal. © The Author(s). 2018
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title_short	BM(book-to-market ratio) factor: medium-term momentum and long-term reversal
url	https://dx.doi.org/10.1186/s40854-017-0085-6
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BM(book-to-market ratio) factor: medium-term momentum and long-term reversal

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