Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)

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Evidences and Explanations for the Momentum Effect in the World: A Literature Review

Authors
Yueqing Li1, *,a, †, Xianzi Wang2, *, b, †, Zhensheng Zeng2, *, c, †
1Beijing Normal University, Business School, Beijing, China
2Sun Yat-sen University, Lingnan College, Guangzhou, China
†

These authors contributed equally.

*Corresponding author. Email: aliyueqing@mail.bnu.edu.cn
Corresponding Authors
Yueqing Li, Xianzi Wang, Zhensheng Zeng
Available Online 15 December 2021.
DOI
10.2991/assehr.k.211209.273How to use a DOI?
Keywords
momentum effect; evidences; traditional finance; behavioral finance
Abstract

Momentum effect is a common phenomenon in stock markets. This study reviews a few literatures to investigate the evidences of momentum effect and its rational explanations in the stock markets worldwide. Based on our analysis, evidences for momentum effect are summarized and categorized. It is concluded that momentum effect differs in different countries and regions. Specifically, time scales for the phenomenon in non-Asian countries are significantly longer than those in Asian countries. In terms of explanations for the momentum effect, existing theories can be divided into three genres: traditional finance based on a risk-return framework, behavioral finance stretched from prospect theory, as well as non-behavioral finance correlated. Our findings show that risk-based analysis in traditional finance cannot fully explain the momentum effect. Positive feedback mode, overreaction and underreaction characterized by anchoring effect and disposition biases will offer much more reasonable explanations for the momentum effect in different perspectives under behavioral finance framework. In reality, market states and other conditional exogenous factors (e.g., non-behavioral) sector sometimes make sense. These results make a vivid glimpse of momentum effect and shed light for researchers to get a profound insight into the core of stock market.

Copyright
© 2021 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

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Volume Title
Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
Series
Advances in Economics, Business and Management Research
Publication Date
15 December 2021
ISBN
978-94-6239-483-4
ISSN
2352-5428
DOI
10.2991/assehr.k.211209.273How to use a DOI?
Copyright
© 2021 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

Cite this article

risenwbib
TY  - CONF
AU  - Yueqing Li
AU  - Xianzi Wang
AU  - Zhensheng Zeng
PY  - 2021
DA  - 2021/12/15
TI  - Evidences and Explanations for the Momentum Effect in the World: A Literature Review
BT  - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
PB  - Atlantis Press
SP  - 1697
EP  - 1703
SN  - 2352-5428
UR  - https://doi.org/10.2991/assehr.k.211209.273
DO  - 10.2991/assehr.k.211209.273
ID  - Li2021
ER  -