{"title":"论股权分置改革后中国股票市场存在的惯性和反转效应","authors":"D. Zhang, Ming-Hung Yao","doi":"10.1109/ICISE.2010.5689815","DOIUrl":null,"url":null,"abstract":"Contrarian and Momentum are the strongest and most puzzling asset-pricing anomalies in stock market. We investigates the performance of winner and loser portfolio in China stock market after the share structure reform in this paper. The results reveal that there is the contrarian effect only in loser portfolio; while the momentum effect is observed only in winner portfolio.","PeriodicalId":206435,"journal":{"name":"The 2nd International Conference on Information Science and Engineering","volume":"216 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2010-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"On the existence of inertial and reversal effects in China stock market of the post share structure reform\",\"authors\":\"D. Zhang, Ming-Hung Yao\",\"doi\":\"10.1109/ICISE.2010.5689815\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Contrarian and Momentum are the strongest and most puzzling asset-pricing anomalies in stock market. We investigates the performance of winner and loser portfolio in China stock market after the share structure reform in this paper. The results reveal that there is the contrarian effect only in loser portfolio; while the momentum effect is observed only in winner portfolio.\",\"PeriodicalId\":206435,\"journal\":{\"name\":\"The 2nd International Conference on Information Science and Engineering\",\"volume\":\"216 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2010-12-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"The 2nd International Conference on Information Science and Engineering\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1109/ICISE.2010.5689815\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"The 2nd International Conference on Information Science and Engineering","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/ICISE.2010.5689815","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
On the existence of inertial and reversal effects in China stock market of the post share structure reform
Contrarian and Momentum are the strongest and most puzzling asset-pricing anomalies in stock market. We investigates the performance of winner and loser portfolio in China stock market after the share structure reform in this paper. The results reveal that there is the contrarian effect only in loser portfolio; while the momentum effect is observed only in winner portfolio.
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