| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3340 |
| DP3340 Sources of Funds and Investment Activities of Venture Capital Funds: Evidence from Germany, Israel, Japan and the UK | |
| Colin Mayer; YIshay Yafeh; Koen Schoors | |
| 发表日期 | 2002-04-20 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | This Paper analyses the relation between momentum strategies (strategies that buy stocks with high returns over the previous three to 12 months and sell stocks with low returns over the same period) and turnover (number of shares traded divided by the number of shares outstanding) for the German stock market. Our main finding is that momentum strategies are more profitable among high-turnover stocks. In contrast to US evidence, this result is driven mainly by winners: high-turnover winners have higher returns than low-turnover winners. We present various robustness checks, long-horizon results, evidence on seasonality, and control for size-, book-to-market-, and industry-effects. We argue that our results are useful to empirically evaluate competing explanations for the momentum effect. |
| 主题 | Financial Economics |
| 关键词 | Asset pricing Momentum strategies Return predictability Turnover |
| URL | https://cepr.org/publications/dp3340 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532363 |
| 推荐引用方式 GB/T 7714 | Colin Mayer,YIshay Yafeh,Koen Schoors. DP3340 Sources of Funds and Investment Activities of Venture Capital Funds: Evidence from Germany, Israel, Japan and the UK. 2002. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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