BM(book-to-market ratio) factor: medium-term momentum and long-term reversal

BM(book-to-market ratio) factor: medium-term momentum and long-term reversal

Abstract To explain medium-term momentum and long-term reversal, we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio. According to the CAPM model’s zero explanatory ability with respect to stock market anomalies, we obtain an anomaly interpretati...

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Bibliographic Details
Main Authors: Liu Wei-qi, Zhang Jingxing
Format: Article
Language:English
Published: SpringerOpen 2018-01-01
Series:Financial Innovation
Subjects:
Stock market volatility
medium-term momentum
long-term reversal
holding period
formation period
book-to-market ratio
Online Access:http://link.springer.com/article/10.1186/s40854-017-0085-6

Internet

http://link.springer.com/article/10.1186/s40854-017-0085-6

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