Co-momentum and Stock Market Returns
Kailin Zeng, Ebenezer Fiifi Emire Atta Mills, Xiuzhi Zhang, Shaolong Zeng
Ebenezer Fiifi Emire Atta Mills
Available Online December 2018.
- 10.2991/febm-18.2018.27How to use a DOI?
- Co-momentum; Return forecasting; Cross-sectional correlations
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.
- © 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 -