An Explanation of Momentum in Canadian Stocks
Bibliographic record
Abstract
Abstract This paper examines the drivers of momentum in Canadian stocks. We find that momentum is negatively related to book‐to‐market and analyst coverage, whereas size appears to play no role in explaining the momentum effect. We further document that analyst coverage is more important than book‐to‐market in explaining momentum. In contrast to prior research, we find only partial support for the Fama and French (1998) book‐to‐market argument in that most of the continuation effect is explained by low book‐to‐market stocks. Résumé Le présent article se penche sur les facteurs motivants du momentum dans les actions canadiennes. Il montre que le momentum est relié négativement à la valeur au livre et à la couverture des analystes, et que la taille n'est pas un facteur déterminant dans l'explication de l'effet du momentum. Par ailleurs, comparé à la valeur du livre, la couverture des analystes permet de mieux expliquer le momentum. Contrairement à la thèse défendue par Fama et French (1998), not re étude démontre que les actions faibles de la valeur au livre peuvent rendre compte de l'essentiel de l'effet de continuité.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.006 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.002 | 0.002 |
| Science and technology studies | 0.001 | 0.001 |
| Scholarly communication | 0.002 | 0.001 |
| Open science | 0.001 | 0.001 |
| Research integrity | 0.001 | 0.001 |
| Insufficient payload (model declined to judge) | 0.007 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".