On the existence of inertial and reversal effects in China stock market of the post share structure reform

Danmin Zhang Danmin Zhang,Minglong Yao Minglong Yao

doi:10.1109/icise.2010.5689815

On the existence of inertial and reversal effects in China stock market of the post share structure reform

Danmin Zhang Danmin Zhang, Minglong Yao Minglong Yao

https://doi.org/10.1109/icise.2010.5689815

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Publication Date: Dec 1, 2010

Affiliation: Zhejiang Shuren University, Zhejiang University of Finance and Economics

#Winner Portfolio #Loser Portfolio + Show 8 more

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Abstract

Contrarian and Momentum are the strongest and most puzzling asset-pricing anomalies in stock market. We investigates the performance of winner and loser portfolio in China stock market after the share structure reform in this paper. The results reveal that there is the contrarian effect only in loser portfolio; while the momentum effect is observed only in winner portfolio.

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