haku: @indexterm Profitability / yhteensä: 685
viite: 150 / 685
| Tekijä: | Conrad, J. Kaul, G. |
| Otsikko: | An anatomy of trading strategies. |
| Lehti: | Review of Financial Studies
1998 : FALL, VOL. 11:3, p. 489-519 |
| Asiasana: | FINANCIAL MARKET TRADING STRATEGIC PLANNING PROFITABILITY |
| Kieli: | eng |
| Tiivistelmä: | The authors use a single unifying framework to analyze the sources of profits to a wide spectrum of returnbased trading strategies implemented in the literature. They show that less than 50% of the 120 strategies implemented in the article yield statistically significant profits and, uncoditionally, momentum and contrarian strategies are equally likely to be successful. A momentum strategy is usually profitable at the medium (3- to 12-month) horizon, while a contrarian strategy nets statistically significant profits at long horizons. The results show also that the cross-sectional variation in the mean returns of individual securities included in these strategies plays an important role in their profitability. |
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