Individualism and Momentum around the World个人主义和世界各地的势头.pptVIP

Individualism and Momentum around the World Andy C.W. Chui: Hong Kong Polytechnic Sheridan Titman: UT Austin K.C. John Wei: HKUST December 2004 The Momentum Effect Momentum strategy: Buy the past winners and sell the past losers. Profitability of momentum strategy: Yes in the U.S. Jegadeesh and Titman (1993, 2001) Yes for most of the European countries Rouwenhorst (1998) Yes for a number of countries around the world. Griffin, Ji, and Martin (2003) No for most of the countries in Asia including Japan Chui, Titman, and Wei (2003) The evidence indicates that Momentum effect varies across cou