Abstract Li et al.(2022) propose a new momentum indicator that combines past returns and
consistent belief information, and show that the indicator positively predicts cross-sectional …

This study analyzes why the negative momentum effect appears in Asian (China, Japan,
Korea) stock markets, contrary to the US market. We use principal component momentum …

While existing studies have not detected a significant standard momentum in the A-share
market, recent literature has documented several modified momentum factors. Echoing the …

Using an approach based on functional data analysis, we address the controversy that
momentum or reversal effect disputes exist in China's A-shares markets. It finds patterns of …

This paper proposes the Augmented Tree-Based Conditional Sort approach to investigate
the return prediction problems. We find a momentum effect in the Chinese stock market …

In this study, we examine the implications of multi-factor asset pricing models in corporate
valuation, focusing on the relative valuation approach. Our investigation centers around an …

This study examines if both market frictions and stock mispricing provide better explanation
of the momentum premium, compared to the conventional asset pricing models. Using a …