haku: @indexterm Profitability / yhteensä: 685
viite: 120 / 685
Tekijä: | Chan, K. Hameed, A. Tong, W. |
Otsikko: | Profitability of momentum strategies in the international equity |
Lehti: | Journal of Financial and Quantitative Analysis
2000 : JUN, VOL. 35:2, p. 153-172 |
Asiasana: | PROFITABILITY STRATEGY STOCK MARKETS |
Kieli: | eng |
Tiivistelmä: | This paper examines the profitability of momentum strategies implemented on international stock market indices. The authors' results indicate statistically significant evidence of momentum profits. The momentum profits arise mainly from time-series predictability in stock market indices - very little profit comes from predictability in the currency markets. The authors also find higher profits for momentum portfolios implemented on markets with higher volume in the previous period, indicating that return continuation is stronger following an increase in trading volume. |
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