Rational Momentum Effects  

Oleh:

Johnson, Timothy C.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 2 (2002), page 585-608.
Topik: momentum; studies; economic models; rational expectations; rates of return; stock prices
Fulltext: p 585.pdf (292.86KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.5 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Momentum effects in stock returns need not imply investor irrationality, heterogeneous information or market frictions. A simple, single - firm model with a standard pricing kernel can produce such effects when expected dividend growth rates vary over time. An enhanced model, under which persistent growth rate shocks occur episodically, can match many of the features documented by the empirical research. The same basic mechanism could potentially account for underreaction anomalies in general.

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