TY - JOUR
T1 - Missing momentum in China
T2 - Considering individual investor preference
AU - Yao, Shouyu
AU - Qin, Yuanyuan
AU - Cheng, Feiyang
AU - Wu, Ji(George)
AU - Goodell, John W.
PY - 2022/10
Y1 - 2022/10
N2 - We explore the missing momentum effect in the Chinese stock market from the perspective of individual investor preference. Creating a comprehensive individual investor preference index to investigate the missing momentum effect, we find that the momentum effect diminishes toward absence in Chinese-market stocks with particularly high-levels of individual investor preference. In contrast, momentum manifests with decreases in individual investor preference. Contributing to the literature, we provide a new explanation of the missing momentum effect.
AB - We explore the missing momentum effect in the Chinese stock market from the perspective of individual investor preference. Creating a comprehensive individual investor preference index to investigate the missing momentum effect, we find that the momentum effect diminishes toward absence in Chinese-market stocks with particularly high-levels of individual investor preference. In contrast, momentum manifests with decreases in individual investor preference. Contributing to the literature, we provide a new explanation of the missing momentum effect.
KW - Financial markets
KW - Individual investors
KW - Market anomalies
KW - Momentum
UR - http://www.scopus.com/inward/record.url?scp=85133854864&partnerID=8YFLogxK
U2 - 10.1016/j.frl.2022.103110
DO - 10.1016/j.frl.2022.103110
M3 - Article
AN - SCOPUS:85133854864
SN - 1544-6123
VL - 49
SP - 1
EP - 7
JO - Finance Research Letters
JF - Finance Research Letters
M1 - 103110
ER -