Profitability of Momentum Strategies Around the World
(2011) NEKM03 20111Department of Economics
- Abstract (Swedish)
- In this paper we investigate the international profitability of momentum strategies for a number of countries during the time period between 1995 and 2010. Positive abnormal returns were generated over 3 to 12 months by strategies buying the best past performance stocks and selling the worst past performance stocks. Although adjustments for risk-, size- and value factors didn’t result in any significant changes in the monthly excess returns, CAPM and Fama-French three factor model still couldn’t explain the source of these anomalies. Therefore, behavioral theories seem to be a possible explanation for the existence of these anomalies.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1975745
- author
- Kolobaric, Amanda LU and Khatabakhsh, Parisa LU
- supervisor
- organization
- course
- NEKM03 20111
- year
- 2011
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Momentum, zero-cost strategy, international, anomalies, efficient market hypothesis
- language
- English
- id
- 1975745
- date added to LUP
- 2011-06-17 11:24:14
- date last changed
- 2011-06-17 11:24:14
@misc{1975745, abstract = {{In this paper we investigate the international profitability of momentum strategies for a number of countries during the time period between 1995 and 2010. Positive abnormal returns were generated over 3 to 12 months by strategies buying the best past performance stocks and selling the worst past performance stocks. Although adjustments for risk-, size- and value factors didn’t result in any significant changes in the monthly excess returns, CAPM and Fama-French three factor model still couldn’t explain the source of these anomalies. Therefore, behavioral theories seem to be a possible explanation for the existence of these anomalies.}}, author = {{Kolobaric, Amanda and Khatabakhsh, Parisa}}, language = {{eng}}, note = {{Student Paper}}, title = {{Profitability of Momentum Strategies Around the World}}, year = {{2011}}, }