How do momentum strategies 'score' against individual investors in Taiwan, Hong Kong and Korea?

摘要

We compare the momentum strategies to "naive" uninformed strategies in Taiwan, Hong Kong, and Korea. The high participation of individual investors in these economies makes it an ideal setting to use the score function proposed by Banerjee and Hung (BH, 2011). As in BH we find that the average scores of the momentum profits in these markets are close to zero. In contrast to BH's finding that in the U.S. market the winner stocks get significantly positive scores, we find that in all the three markets the scores of the winner portfolio are statistically insignificant.