Asymmetric dynamics of stock price continuation

Yi-Hou Huang*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

12 Scopus citations


This paper finds that the dynamics of stock price continuation are asymmetrical, in terms of both business cycles and past performances. During times of recession, stock returns are explained differently for past losers and winners; the level of credit quality dominates the return dynamics for extreme losers, while levels of information-based trading activity and information ambiguity contribute to winners' medium-term returns. Such asymmetry is proposed as the source of insignificant profits achieved using conventional momentum strategies. On the other hand, in times of expansion, conventional asset pricing factors are found to affect stock returns with a dependence on the level of credit quality; this suggests that more profitable momentum strategies remain to be discovered.

Original languageEnglish
Pages (from-to)1839-1855
Number of pages17
JournalJournal of Banking and Finance
Issue number6
StatePublished - 1 Jun 2012


  • Credit default swaps
  • Momentum
  • Probability of informed trading

Fingerprint Dive into the research topics of 'Asymmetric dynamics of stock price continuation'. Together they form a unique fingerprint.

Cite this