Corporate Investment and Stock Return Momentum

IF 0.3 Q4 BUSINESS, FINANCE

Review of Pacific Basin Financial Markets and Policies Pub Date : 2022-02-26 DOI:10.1142/s0219091522500060

Ki C. Han, A. Jalal, K. Simonyan

引用次数: 0

Abstract

We investigate the link between corporate investment and the momentum effect in stock returns. We argue that the momentum effect in a firm’s stock returns tends to be generated as a result of a series of information exchanges between stock market investors and firm insiders regarding the firm’s investment opportunities. Our theoretical setup predicts that past winners (losers) are likely to increase (decrease) their net investment, and the more they invest (disinvest) the more likely they are to realize positive (negative) returns in subsequent periods. Our empirical tests using a large sample of firms in 1984–2017 provide support for our hypotheses. We further design a momentum trading strategy, which buys past winners with positive predicted changes in net investment and sells past losers with negative predicted changes in net investment, and demonstrate that this trading strategy generates superior returns compared to a simple momentum trading strategy.

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企业投资与股票回报动力

我们研究了公司投资与股票收益动量效应之间的联系。我们认为，公司股票收益的动量效应往往是股票市场投资者与公司内部人士之间关于公司投资机会的一系列信息交换的结果。我们的理论预测，过去的赢家(输家)可能会增加(减少)他们的净投资，他们投资(撤除)的越多，他们就越有可能在随后的时期实现正(负)回报。我们使用1984-2017年大量公司样本进行的实证检验为我们的假设提供了支持。我们进一步设计了动量交易策略，即买入净投资预期变化为正的过去赢家，卖出净投资预期变化为负的过去输家，并证明与简单的动量交易策略相比，这种交易策略产生了更高的回报。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Pacific Basin Financial Markets and Policies BUSINESS, FINANCE-

CiteScore

1.30

自引率

11.10%

发文量

期刊介绍： This journal concentrates on global interdisciplinary research in finance, economics and accounting. The major topics include: 1. Business, economic and financial relations among the Pacific rim countries. 2. Financial markets and industries. 3. Options and futures markets of the United States and other Pacific rim countries. 4. International accounting issues related to U.S. companies investing in Pacific rim countries. 5. The issue of and strategy for developing Tokyo, Taipei, Shanghai, Sydney, Seoul, Hong Kong, Singapore, Kuala Lumpur, Bangkok, Jakarta, and Manila as international or regional financial centers. 6. Global monetary and foreign exchange policy, and 7. Other high quality interdisciplinary research in global accounting, business, economics and finance.