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Continuous overreaction, insiders trading activities and momentum strategies

Introduction

Empirical findings and discussions

Insider trading refined momentum strategies

Adjust the size and BM factors

Long-term reversal

Conclusions

References

Continuous overreaction, insiders trading activities and momentum strategies

References

Barberis, N.C., Shleifer, A., Vishny, R.W., 1998. A model of investor sentiment. Journal of Financial Economics 49, 307–343.

Conrad, J., Kaul, G., 1998. An anatomy of trading strategies. Review of Financial Studies 11, 489–519.

Daniel, K., Hirshleifer, D., Subrahmanyam, A., 1998. Investor psychology and security market underand overreactions. Journal of Finance 53, 1839–1886.

Grinblatt, M., Moskowitz, T., 1999. Does industry explain momentum? Journal of Finance 54, 1212–1249.

Grundy, B.D., Martin, J.S., 2001. Understanding the nature of risks and the sources of rewards to momentum investing. Review of Financial Studies 14, 29–78.

Hong, H., Stein, J., 1999. A unified theory of underreaction, momentum trading and overreaction in asset markets. Journal of Finance 54 (6), 2143–2184.

Jegadeesh, N., Titman, S., 1993. Returns to buying winners and selling losers: implication for stock market efficiency. Journal of Finance 48, 65–91.

Lakonishok, J., Lee, I., 1998. Are Insiders’ Trade Informative?, NBER Working Paper 6656.

Seyhun, H.N., 1992. Why does aggregate insider trading predicts future stock returns? Quarterly Journal of Economics 107, 1303–1331.

Seyhun, H.N., 1998. Investment Intelligence From Insider Trading. MIT Press, Cambridge, MA.

Jihong Xiang, Jia He , Min Cao

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