Proceedings of the Third International Conference on Economic and Business Management (FEBM 2018)

Co-momentum and Stock Market Returns

Authors
Kailin Zeng, Ebenezer Fiifi Emire Atta Mills, Xiuzhi Zhang, Shaolong Zeng
Corresponding Author
Ebenezer Fiifi Emire Atta Mills
Available Online December 2018.
DOI
https://doi.org/10.2991/febm-18.2018.27How to use a DOI?
Keywords
Co-momentum; Return forecasting; Cross-sectional correlations
Abstract

As a proxy for valuable information related to momentum trading, Co-momentum variable is created based on average correlations for daily stock returns between consecutive trading days within a given period. This paper finds a negative relationship between Co-momentum and future market excess return from the US data, and the Co-momentum variable provides new and valuable information in addition to a large set of popular return predictors including average correlation, investor sentiment and price-to-dividend ratio. Furthermore, the success of Co-momentum does not depend on the forecast horizon and is robust to a variety of predictive tests.

Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the Third International Conference on Economic and Business Management (FEBM 2018)
Series
Advances in Economics, Business and Management Research
Publication Date
December 2018
ISBN
978-94-6252-623-5
ISSN
2352-5428
DOI
https://doi.org/10.2991/febm-18.2018.27How to use a DOI?
Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Kailin Zeng
AU  - Ebenezer Fiifi Emire Atta Mills
AU  - Xiuzhi Zhang
AU  - Shaolong Zeng
PY  - 2018/12
DA  - 2018/12
TI  - Co-momentum and Stock Market Returns
BT  - Proceedings of the Third International Conference on Economic and Business Management (FEBM 2018)
PB  - Atlantis Press
SP  - 115
EP  - 119
SN  - 2352-5428
UR  - https://doi.org/10.2991/febm-18.2018.27
DO  - https://doi.org/10.2991/febm-18.2018.27
ID  - Zeng2018/12
ER  -