All Outputs (6)

Informed Momentum Trading versus Uninformed "Naive" Investors Strategies (2011)
Journal Article
Banerjee, A., & Hung, C. (2011). Informed Momentum Trading versus Uninformed "Naive" Investors Strategies. Journal of Banking and Finance, 35(11), 3077-3089. https://doi.org/10.1016/j.jbankfin.2011.04.005

We construct a zero-net-worth uninformed ”naive investor” who uses a random portfolio allocation strategy. We then compare the returns of the momentum strategist to the return distribution of naive investors. For this purpose we reward momentum profi... Read More about Informed Momentum Trading versus Uninformed "Naive" Investors Strategies.

Investor Sentiment as Conditioning Information in Asset Pricing (2009)
Journal Article
Ho, C., & Hung, C. (2009). Investor Sentiment as Conditioning Information in Asset Pricing. Journal of Banking and Finance, 33(5), 892-903. https://doi.org/10.1016/j.jbankfin.2008.10.004

This paper assesses whether incorporating investor sentiment as conditioning information in asset-pricing models helps capture the impacts of the size, value, liquidity and momentum effects on risk-adjusted returns of individual stocks. We use survey... Read More about Investor Sentiment as Conditioning Information in Asset Pricing.

Return Predictability of Higher-Moment CAPM Market Models (2008)
Journal Article
Hung, C. (2008). Return Predictability of Higher-Moment CAPM Market Models. Journal of Business Finance and Accounting, 35(7-8), 998-1022. https://doi.org/10.1111/j.1468-5957.2008.02102.x

This paper examines the relative performance of the higher-moment CAPM market models and the CAPM in explaining realised returns and predicting one-period-ahead returns on individual stocks and (both equally- and value-weighted) portfolios of momentu... Read More about Return Predictability of Higher-Moment CAPM Market Models.

Return explanatory ability and predictability of non-linear market models (2007)
Preprint / Working Paper
Hung, D. Return explanatory ability and predictability of non-linear market models

Recent literature supports the pricing of higher-order systematic co-moments of returns. This paper provides some support for the quadratic-market model that is consistent with the three-moment CAPM in explaining time-series returns of the winner and... Read More about Return explanatory ability and predictability of non-linear market models.

Exploiting predictability in international anomalies (2007)
Preprint / Working Paper
Basu, D., Hung, D. C.-H., & Stremme, A. Exploiting predictability in international anomalies

We construct unconditionally e±cient asset allocation strategies that ex- ploit return predictability of international size and momentum portfolios. The strategies achieve comparable returns to these investment assets while exhibit- ing much lower vo... Read More about Exploiting predictability in international anomalies.

CAPM, Higher co-moment and factor models of UK stock returns (2004)
Journal Article
D.c-h., H., Shackleton, M., & Xu, X. (2004). CAPM, Higher co-moment and factor models of UK stock returns. Journal of Business Finance and Accounting, 31(1-2), 87-112. https://doi.org/10.1111/j.0306-686x.2004.0003.x

In this paper we examine the variables that explain the crosssection of UK stock returns. Previous studies have found that the CAPM beta has moderate or even insignificant explanatory power once the Fama French factors are included. However, we contr... Read More about CAPM, Higher co-moment and factor models of UK stock returns.