European Price Momentum and Analyst Behavior

Dijk, Ronald van; Huibers, Fred

doi:10.2469/faj.v58.n2.2526

Cited by 19 publications

(7 citation statements)

References 16 publications

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“…Examining the US stock market in 1976-1996, Hong et al (2000 state that stocks with slower information diffusion tend to exhibit more pronounced momentum, consistent with Barberis et al (1998). The supporting empirical evidence in the US and Europe are also documented by Van Dijk and Huibers (2002), Doukas and McKnight (2005), Chen and Lu (2017) and Chen and Doukas (2022). Daniel et al (1998) declare that numerous investors have a tendency to overestimate their ability to obtain private information and underestimate their forecast errors.…”

Section: Literature Reviewmentioning

confidence: 69%

“…Later on, the momentum profitability in the US is confirmed by Asness (1997), Jegadeesh and Titman (2001), Asness et al (2013) and Byun et al (2016). Momentum is also discovered in other European developed markets (Van Dijk and Huibers, 2002;Doukas and McKnight, 2005;Antoniou et al, 2007;Huhn and Scholz, 2019). Furthermore, the momentum effect is found in emerging equity markets in Asia, Latin America, Eastern Europe and Africa (Rouwenhorst, 1999;Cakici et al, 2013;Hanauer and Linhart, 2015;Butt et al, 2021).…”

Section: Literature Reviewmentioning

confidence: 83%

“…Over the last decades, numerous studies provide solid evidence of the momentum profit in many different equity markets. Momentum is not only discovered in developed markets such as the US (Jegadeesh and Titman, 2001;Asness et al, 2013;Byun et al, 2016) and Europe (Van Dijk and Huibers, 2002;Doukas and McKnight, 2005;Antoniou et al, 2007;Huhn and Scholz, 2019) but also in various emerging markets (Rouwenhorst, 1999;Cakici et al, 2013;Butt et al, 2021).…”

Section: Introductionmentioning

confidence: 99%

“…, 2013; Byun et al. , 2016) and Europe (Van Dijk and Huibers, 2002; Doukas and McKnight, 2005; Antoniou et al. , 2007; Huhn and Scholz, 2019) but also in various emerging markets (Rouwenhorst, 1999; Cakici et al.…”

Section: Introductionmentioning

confidence: 99%

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Overreaction and momentum in the Vietnamese stock market

Duong

Bertrand

2022

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PurposeAlthough the solid empirical proof of momentum is documented in various stock markets, there are many debates among academics with respect to the source of momentum profit. The first aim of this paper is intensively re-examine the momentum profit in Vietnam, an important emerging market. Secondly, the authors study the return predictability of a measure of investors’ overreaction, then examine whether the momentum effect in Vietnam is explained by overreaction.Design/methodology/approachUsing the weekly data of more than 300 non-financial Vietnamese stocks during 2009–2019, the authors build a measure of investors’ overreaction, which is based on trading volume and the sign of stock returns. Consequently, to investigate whether momentum exits after controlling for overreaction, the authors carefully compare trading strategies based on overreaction with price momentum strategies using adjusted returns and double sorts on past returns and levels of overreaction.FindingsThe article makes three main findings. Firstly, the authors discover the empirical evidence of momentum in the Vietnamese equity market. Secondly, the measure of overreaction could be a predictor of Vietnamese stock returns. Stocks that have experienced a stronger upward overreaction provide a higher average return. Finally, returns on trading strategies based on overreaction are robust after adjusting for momentum, while returns on momentum portfolios become insignificant after adjusting for overreaction. By double-sorting, the authors document that holding past returns constant, the average returns of portfolios rise monotonically with their measure of overreaction. Hence, the momentum profit in Vietnam arises from investors’ overreaction.Originality/valueThe paper extends previous research on the behavioral explanation of momentum in emerging stock markets, which has not been fully exploited in the literature.

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Section: Literature Reviewmentioning

confidence: 69%

Section: Literature Reviewmentioning

confidence: 83%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Overreaction and momentum in the Vietnamese stock market

Duong

Bertrand

2022

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“…In particular, the return of the underlying asset is relevant (e.g Abarbanell (1991);De Bondt (1993); Glaser et al (2007)). For earning forecasts, van Dijk and Huibers (2002) find that strong price momentum of the corresponding stock cause underestimation of future earnings. Reitz et al (2012) find that oil price forecasters expect a reversion of oil price increases given that the increases are below a certain threshold.…”

mentioning

confidence: 99%