Momentum returns and information uncertainty: Evidence from China
A recent theory of information uncertainty (IU) postulates a negative(positive) relationship between IU and future returns (momentumreturns). We extend this theory by showing that its predictions couldbe conditioned by differences in behavioral biases induced by culture.We find that greater IU does...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
Elsevier
2014
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| Online Access: | http://hdl.handle.net/20.500.11937/35918 |