Sign Momentum Around the World

NCUIR > School of Management at National Central University > Graduate Institute of Finance > Electronic Thesis & Dissertation > Item 987654321/97848

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/97848

Title:	Sign Momentum Around the World
Authors:	郭泰緒;KUO, TAI-HSU
Contributors:	財務金融學系
Keywords:	動能;符號動能;文化因子;Momentum;Sign Momentum;Culture
Date:	2025-06-25
Issue Date:	2025-10-17 11:59:52 (UTC+8)
Publisher:	國立中央大學
Abstract:	我們探討國家文化如何影響 Sign momentum 的報酬表現。Sign momentum 是經過雜訊過濾的傳統 Jegadeesh and Titman (JT) 動能策略變體。本文使用經過嚴格清理的日資料，涵蓋自 1984 年至 2024 年間、來自 54 個股市共 83,330 檔普通股。我們每月依據過去一年報酬的符號平均值對股票排序，建立等權重的贏家減輸家（W–L）投資組合。相較於 JT 動能，Sign momentum 的全球一年報酬加倍，且能大幅減緩長期反轉現象。進一步的橫斷面迴歸結果顯示，這些動能報酬與 Hofstede 的六項文化構面，以及制度品質、市場結構與社會碎片化等控制變數密切相關。其中，個人主義（IDV）透過損失厭惡等行為特徵強化短期動能，導致輸家股票反應不足；陽剛特質（MAS）則因過度競爭性交易傾向而削弱動能；而權力距離（PDI）同樣反映高度損失規避，且其階層化市場減緩資訊擴散，使動能效應得以延續至長期。在制度面上，市場成熟度與反自利交易指數有助於動能延續，而種族多樣性則對其有抑制作用。這些發現在控制 2000 年後子樣本與納入低價股後仍然穩健，顯示文化與制度效果不受市場結構與資料品質變化影響。總結而言，本研究深化了行為資產定價理論，證明簡單的符號排序動能策略能夠擷取受到文化影響的報酬模式，且其效果可持續達五年，為結合文化觀點的跨國動能投資策略提供具體實務框架。 ;We examine how national culture shapes the profitability of sign momentum, a noise-filtered variant of the classic Jegadeesh–Titman (JT) strategy. Using meticulously cleaned daily data for 83,330 common stocks across 54 equity markets from 1984 to 2024, we construct equal-weighted Winner-minus-Loser (W–L) portfolios by ranking securities monthly on the average sign of their prior-year returns. Compared to JT momentum, sign momentum more than doubles the global one-year W–L spread and substantially mitigates long-term reversal. Cross-sectional regressions link these profits to Hofstede’s six cultural dimensions and a broad set of institutional, market-structure, and social-fragmentation controls. Individualism (IDV) strengthens short-term momentum via loss aversion, causing loser stocks to underreact. Power Distance (PDI) similarly reflects heightened loss aversion, but its hierarchical markets slow information diffusion—allowing momentum effects to persist into longer horizons. Masculinity (MAS), by fostering competitive, high-turnover trading, consistently erodes momentum across both horizons. On the institutional side, market maturity (exchange age) and the ASD index enhance momentum continuation, while the Ethics indicator suppresses it. These findings hold robustly in a post-2000 sub-period and after including penny stocks, confirming that cultural and institutional effects remain stable across varying market environments and data conditions. Overall, this study deepens behavioral asset-pricing theory by showing that a simple, sign-based momentum measure captures culturally conditioned return patterns that can persist for up to five years and offers a practical framework for integrating cultural insights into cross-border momentum investment
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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