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August 14, 2025Modern FinanceOpen Access

The gap between you and your peers matters: The net peer momentum effect in China

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Authors

HLHuaigang LongZhejiang University of Finance and EconomicsRZRui ZhuZhejiang Cancer HospitalCWCongcong WangZhejiang University of Finance and Economics

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Implication

The net peer momentum shows stocks with high returns outperform peers in the Chinese equity market, highlighting significant pricing effects.

Key Points

  • Stocks exhibiting high net peer momentum outperform those with low net peer momentum, achieving over 1% monthly returns.
  • The analysis of Chinese equity market data indicates a robust cross-sectional relationship in stock performance.
  • A defined long-short strategy based on peer momentum quintiles reveals substantial pricing power advantages in the market.
  • Net peer momentum reflects investor underreaction to information, enhancing its predictive power compared to connected firms alone.

Cite This Study

Long et al. (2025) studied this question.

synapsesocial.com/papers/68af56faad7bf08b1eadd27ahttps://doi.org/10.61351/mf.v3i3.347
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Also Consider

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