HABITAT RETURNS AND MOMENTUM TO EXPLAIN THE CROSS-SECTION OF STOCKS RETURN
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Date
2020
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Publisher
UMT.Lahore
Abstract
In this paper, we find strong empirical evidence that stocks are connected by
common ownership. Based on the observation, we are proposing a new strategy – dubbed
“Habitat return and momentum” and show for Karachi stock exchange data from the period
2010–2018. GMM regression is used due to the nature of the data. Results show a
significant relationship between the variables. Our study explained that stock with common
owners have more correlated returns than industry. By adding ownership (lagged) and
industry (lagged) the industry returns also performed well, but momentum and reversal do
not perform in KSE100 in any case.