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
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/).

Download article (PDF)

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
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  - 10.2991/febm-18.2018.27
ID  - Zeng2018/12
ER  -