Bond Return, Spread Change, and the Momentum Effect in Corporate Bond and Stock Markets

2005 ◽  
Author(s):  
Ming Fang
Keyword(s):  
Stock Markets ◽  
Corporate Bond ◽  
Momentum Effect ◽  
Bond Return

Momentum Effect in Stock Market: Empirical Evidence from Pakistan Stock Exchange

2019 ◽  
Vol 12 (1) ◽  
Author(s):  
Shahid Rasheed ◽  
Umar Saood ◽  
Waqar Alam
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Stock Markets ◽  
Stock Exchange ◽  
Momentum Effect ◽  
Using Data

This study aims to examine the momentum effect presence in selected stocks of Pakistan stock market using data from Jan 2007 to Dec 2016. This study constructed the strategies includes docile, equal weighted and full rebalancing techniques. Data was extracted from the PSX – 100 index ranging from 2007 to 2016. STATA coding ASM software was used for calculating momentum portfolios, finally top 25 stocks were considered as a winner stocks and bottom 25 stocks were taken as a loser stocks. In conclusion, the results of the study found a strong momentum effect in Pakistan stock exchange PSX 100- index. As by results it has been observed that a substantial profit can earn by the investors or brokers in constructing a portfolio with a short formation period of three months and hold for 3, 6 and 12 months. There is hardly a study is present on the same topic on Pakistan Stock Exchange as preceding studies were only conducted on individual stock markets before merger of stock markets in Pakistan while this study leads the explanation of momentum phenomenon in new dimension i.e. Pakistan Stock Exchange. Keywords: Momentum, Portfolio, Winner Stocks, Loser Stocks

scholarly journals Short term momentum profits and their source: a business indicators’ approach

2013 ◽  
Vol 59 (No. 12) ◽  
pp. 563-577
Author(s):  
A. Ejaz ◽  
P. Polak
Keyword(s):  
Stock Markets ◽  
Primary Objective ◽  
Future Research ◽  
Momentum Effect ◽  
Short Term ◽  
Momentum Profits ◽  
The Future ◽  
Secondary Objective ◽  
Number Of Authors ◽  
Starting A Business

The main objective of the paper is to seek the source that can explain the momentum profits because the source of momentum profits has been disputed. The secondary objective of the paper is to affirm the findings of the author about the presence of the short term momentum effect and to reaffirm the notion that CAPM cannot explain the momentum profits supported by a large number of authors. For the primary objective, a set of variables has been chosen, that fall under the category of “Business Indicators”, to explain the momentum profits. It is found that a variable “Starting a Business” could explain the source of the momentum profits whereas other variables may have a negligible or no influence over the momentum profits. It is also reaffirmed that a short term momentum effect has been found in 14 stock markets and the CAPM could not explain the momentum profits. This study is not conclusive due to the limitation of data but it does give a source of the momentum profits and it sheds light on the future research about the sources that can explain momentum profits in a great detail.

Residual Equity Momentum Spillover in Global Corporate Bond Markets

2019 ◽  
Keyword(s):  
Return Predictability ◽  
Bond Market ◽  
Corporate Bond ◽  
Bond Markets ◽  
Corporate Bond Market ◽  
Pricing Factors ◽  
Bond Return ◽  
Abnormal Pattern ◽  
Additional Support ◽  
Investment Grade

This article presents an improved equity momentum measure for corporate bonds, using the euro-denominated global investment-grade corporate bond market from 2000 to 2016. The author documents economically meaningful and statistically significant corporate bond return predictability. In contrast to the widely used total equity return, momentum as measured by the residual (idiosyncratic) equity return appears to further enhance risk-adjusted performance of corporate bond investors. Additional support for this conjecture is obtained from tests for various asset pricing factors and transaction costs, as exposure to these risk factors cannot explain this abnormal pattern in returns.

Is disposition related to momentum in Chinese market?

2015 ◽  
Vol 41 (6) ◽  
pp. 600-614 ◽  
Author(s):  
Liu Liu Kong ◽  
Min Bai ◽  
Peiming Wang
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Disposition Effect ◽  
Chinese Stock Market ◽  
Momentum Effect ◽  
Chinese Market ◽  
Firm Level ◽  
Content Type ◽  
Level Data ◽  
The Relationship

Purpose – The purpose of this paper is to examine whether the framework of Prospect Theory and Mental Accounting proposed by Grinblatt and Han (2005) can be applied to analyzing the relationship between the disposition effect and momentum in the Chinese stock market. Design/methodology/approach – The paper applies the methodology proposed by Grinblatt and Han (2005). Findings – Using firm-level data, with a sample period from January 1998 to June 2013, the authors find evidence that the momentum effect in the Chinese stock market is not driven by the disposition effect, contradicting the findings of Grinblatt and Han (2005) concerning the US stock market. The discrepancies in the findings between the Chinese and US stock markets are robust and independent of sample periods. Research limitations/implications – The findings suggest that Grinblatt and Han’s model may not be applicable to the Chinese stock market. This is possibly because of the regulatory differences between the two stock markets and cross-national variation in investor behavior; in particular, the short-selling prohibition in the Chinese stock market and greater reference point adaptation to unrealized gains/losses among Chinese compared to Americans. Originality/value – This study provides evidence of the inapplicability of Grinblatt and Han’s model for the Chinese stock market, and shows the differences in the relationship between disposition effect and momentum between the Chinese and US stock markets.

scholarly journals The impact of the financial crisis on the long-range memory of European corporate bond and stock markets

Empirica ◽  
2016 ◽  
Vol 45 (1) ◽  
pp. 1-15 ◽  
Author(s):  
Lisana B. Martinez ◽  
M. Belén Guercio ◽  
Aurelio Fernandez Bariviera ◽  
Antonio Terceño
Keyword(s):  
Financial Crisis ◽  
Long Range ◽  
Stock Markets ◽  
Corporate Bond ◽  
The Impact

An Empirical Investigation Of The Persistence Of Stock And Bond Return Seasonality

2011 ◽  
Vol 16 (2) ◽  
Author(s):  
Angeline M. Lavin
Keyword(s):  
Stock Returns ◽  
Bond Market ◽  
Corporate Bond ◽  
Corporate Bond Market ◽  
Average Return ◽  
Bond Returns ◽  
Bond Return ◽  
The Government ◽  
Using Data ◽  
Return Seasonality

<p class="MsoNormal" style="text-align: justify; margin: 0in 0.5in 0pt;"><span style="font-family: &quot;CG Times&quot;,&quot;serif&quot;;"><span style="font-size: x-small;">The purpose of this paper is to investigate the persistence of seasonality in stock and bond returns using data from 1926 to 1992. This study finds evidence of seasonality in stock returns during the 1926-92 period.<span style="mso-spacerun: yes;">&nbsp; </span>Dividing the data into sub-periods yields the following results: there was no evidence of stock market seasonality from 1926 to 1940, seasonality increased between 1941 and 1975 and then diminished slightly from 1976 to 1992. Specifically, the average January return was found to be significantly different than the average return in the other eleven months of the year.<span style="mso-spacerun: yes;">&nbsp; </span>Seasonality was found in the high-quality end of the corporate bond market during the 1966-78 period, but there was no evidence of seasonality in the government bond market. </span></span></p>

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