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- Title
Market frictions and momentum premium: does stock mispricing matter? Evidence from China.
- Authors
Tarek, Amira; Ali, Heba; Mohamed, Ehab K. A.
- Abstract
This study examines if both market frictions and stock mispricing provide better explanation of the momentum premium, compared to the conventional asset pricing models. Using a large sample of 3727 companies listed on the Chinese stock market, we show that winner stocks are associated with larger market frictions and stock mispricing. Our findings reveal new empirical evidence that momentum premium can be attributed to market friction risk‐factor but additionally explained by a mispricing component.
- Subjects
CHINA; FRICTION; STOCKS (Finance); LISTING of securities; PRICES; CHINESE corporations; INVESTMENT management
- Publication
Journal of Corporate Accounting & Finance (Wiley), 2024, Vol 35, Issue 2, p50
- ISSN
1044-8136
- Publication type
Article
- DOI
10.1002/jcaf.22670