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 Momentum Profits and Return Persistence on the Swedish Stock Market. A Case Study
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Momentum Profits and Return Persistence on the Swedish Stock Market. A Case Study

автор Johan L. издательство Книга по Требованию Экономическая теория
Cтраниц 68        мягкая обложка       
Аннотация:We find that several strategies yield significant momentum returns, especially those strategies having an evaluation period of 6-12 months and a holding period of 1-6 months. Within the field of momentum effects, we investigates whether a zero-investment strategy, where a short position in a portfolio of previously bad performing stocks finance a long position in a portfolio of past well performing stocks, generate positive returns in the period 1987 to 2008. When adjusting for various conventional measures of risk, we find that many of the strategies with previously significant returns continue to generate significant returns even after the risk-adjustment. We also investigate if we can observe any kind of persistence pattern among the included portfolio companies. The primary focus is to examine whether it is possible to earn abnormal returns from such a strategy and if these returns can be explained by various types of risk measures. Traditional models, such as CAPM and the Fama-French model, proved to explain momentum returns to some extent whilst adding a coskewness factor to the latter model only slightly improved the results.
Автор: Johan L.
Издательство: Книга по Требованию
Год:2010
Цена:
2007 руб
Нет в наличии
Поиск: Momentum Profits and Return Persistence on the Swedish Stock Market. A Case Study


ДОСТИГ ЦЕЛИ, А СЧАСТЬЕ НЕ НАСТУПИЛО?


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