Industry Rotation Using Momentum Strategy: Evidence from the Stock Exchange of Thailand

2016 ◽  
Author(s):  
Nopphon Tangjitprom
Keyword(s):  
Stock Exchange ◽  
Momentum Strategy ◽  
Stock Exchange Of Thailand

scholarly journals Size, Value and Momentum in Pakistan Equity Market: Size and Liquidity Exposures

2018 ◽  
Vol III (I) ◽  
pp. 376-394 ◽  
Author(s):  
Romana Bangash ◽  
Faisal Khan ◽  
Zohra Jabeen
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Stock Exchange ◽  
Equity Market ◽  
Future Research ◽  
Momentum Strategy ◽  
Monthly Data ◽  
Average Value ◽  
Asset Pricing Models ◽  
Fama And French

The study inspects the size and liquidity pattern in Pakistan equity market. Sample size contains 278 non-financial firm's monthly data listed on Pakistan Stock Exchange (PSX) from 2001 to 2012. This study uses three asset pricing models (eq.5), (eq.6) and (eq.7). Four factors asset pricing model estimates that momentum factor is positively and negatively linked with winner and loser stocks, both in size and liquidity patterns. Although it is observed that the presence of size and liquidity does not affect the coefficient results but average value of momentum premium in larger in liquidity than size pattern. Further, the study reveals high average stock returns on momentum strategy in liquidity pattern than size that is 8.05% Vs 6.67%, respectively. Results of this study contradicts Fama and French (2012) who concluded that size pattern in momentum factor outperform the equity market. But this study conclude that liquidity pattern outperforms the size pattern in momentum factor. This study raises the question that should investors and academicians consider size or liquidity pattern in momentum factor for high returns and future research?

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