{"title":"Market frictions and momentum premium: does stock mispricing matter? Evidence from China","authors":"Amira Tarek, Heba Ali, Ehab K. A. Mohamed","doi":"10.1002/jcaf.22670","DOIUrl":null,"url":null,"abstract":"<p>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.</p>","PeriodicalId":44561,"journal":{"name":"Journal of Corporate Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9000,"publicationDate":"2023-10-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Corporate Accounting and Finance","FirstCategoryId":"1085","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/jcaf.22670","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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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.
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