| Summary: | 碩士 === 國立臺北大學 === 企業管理學系 === 101 === This study investigates price momentum among stock return synchronicity and contributes to the understanding of the source of momentum profits. Using a sample of U.S. stock from 1965 to 2012, we examine the return from a stock return synchronicity and momentum mixed strategy. We find that momentum profits are positively correlated with stock return synchronicity. In addition, reversal is prevalent only in low synchronicity stocks. Our result contributes the literature in three aspects. First, we confirm that return synchronicity could proxy the stock price informativeness. A more informative stock price means higher return synchronicity. Second, the degree of stock return synchronicity can moderate momentum effect and price reversal. Among high return synchronicity socks, which stock price would underreact, we find the strongest middle-term momentum and no long-term price reversal. However, among stocks with low return synchronicity, the stock price would seriously overreact, which weakens middle-term momentum and enhances long-term price reversal. Finally, momentum effect could not be simply due to systematic risk or behavioral biases. The major resources of momentum profits are attributed to cross-sectional variation in expected stock returns. Nevertheless, the negative serial autocorrelation of stock return decreases momentum magnitude and strengthens price reversal.
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