Profitability of Momentum Stragegies in the International Equity Markets

By Kalok Chan, Allaudeen Hameed, W. Tong. Journal of Financial and Quantitative Analysis, 2000

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Investor Sentiment as Conditioning Information in Asset Pricing (2009, background): “Chan, Hameed, and Tong (2000) document that increases in trading volume strengthen return momentum.”
Macromomentum: Returns Predictability in International Equity Indices (2006, methodology): “equities; and Chan et al. (2000) use such strategies to examine predictability in international equity indices.”
Media Makes Momentum (2014, background): “For momentum at the stock index level, see e.g. Chan, Hameed, and Tong (2000) or Moskowitz, Ooi, and Pedersen (2012).”
Technical analysis of Forex by MACD Indicator (2013, background): “Hameed, and Tong (2000); and Hsu and Kuan (2004) [10-19].”
Stock Selection Strategies in Emerging Markets (2003, background): “(1994) and Chan et al. (1996), among others, we therefore consider multivariate strategies which rank stocks on multiple indicators.”
The Cross-Section of Stock Returns in Frontier Emerging Markets (2012, unknown): “The short-term momentum returns are in line with Chan, Hameed, and Tong (2000), who report a 1.1% per month excess return for short-term country momentum strategies using a sample of 23 developed and emerging countries over the period 1980 to 1995.”
Stochastic dominance analysis of Asian hedge funds (2008, unknown): “After many years, many studies, for example, Chan et al (2000) still found momentum profits empirically. funds some of the time.”