Does Stock Liquidity Explain the Premium for Stock Price Momentum?

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F14%3A10196409" target="_blank" >RIV/00216208:11230/14:10196409 - isvavai.cz</a>

Výsledek na webu

<a href="http://journal.fsv.cuni.cz/mag/article/show/id/1293" target="_blank" >http://journal.fsv.cuni.cz/mag/article/show/id/1293</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Does Stock Liquidity Explain the Premium for Stock Price Momentum?

Popis výsledku v původním jazyce

The empirically documented positive relationship between price momentum and subsequent stock returns constitutes a puzzle that evades a compelling theoretical explanation. This study analyzes one of the proposed explanations, namely that momentum is correlated with stock liquidity, which is the underlying factor affecting stock returns. We empirically test this proposition using the pre-crisis data from the Stockholm Stock Exchange covering the period between 1979 and 2005. The results from the Fama-MacBeth (1973) regressions provide some evidence that liquidity proxies are negatively correlated with average stock returns. However, contrary to the common prediction the inclusion of liquidity proxies does not significantly impact the explanatory power of momentum. This implies that stock liquidity is not a likely driver of short-term persistence in stock returns.

Název v anglickém jazyce

Does Stock Liquidity Explain the Premium for Stock Price Momentum?

Popis výsledku anglicky

The empirically documented positive relationship between price momentum and subsequent stock returns constitutes a puzzle that evades a compelling theoretical explanation. This study analyzes one of the proposed explanations, namely that momentum is correlated with stock liquidity, which is the underlying factor affecting stock returns. We empirically test this proposition using the pre-crisis data from the Stockholm Stock Exchange covering the period between 1979 and 2005. The results from the Fama-MacBeth (1973) regressions provide some evidence that liquidity proxies are negatively correlated with average stock returns. However, contrary to the common prediction the inclusion of liquidity proxies does not significantly impact the explanatory power of momentum. This implies that stock liquidity is not a likely driver of short-term persistence in stock returns.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GAP403%2F12%2F2166" target="_blank" >GAP403/12/2166: Účetní řízení ziskovosti při prvotní veřejné emisi akcíí (IPO)</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2014

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Finance a úvěr

ISSN

0015-1920

e-ISSN

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Svazek periodika

64

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

17

Strana od-do

79-95

Kód UT WoS článku

000331330000004

EID výsledku v databázi Scopus

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