Essays on momentum investing strategies
Data(s) |
2014
|
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Resumo |
The momentum investment strategy, which buys recent winner stocks and sells recent loser stocks, earns returns that are simply too good to be explained by traditional finance theories. This thesis extends our understanding of the sources of momentum profits. The research shows that part of the seemingly anomalous returns can be explained by the market's reaction to public news, is affected by how delisting returns are calculated, and is biased by ignoring the time-varying risk of the trading strategy. |
Formato |
application/pdf |
Identificador | |
Publicador |
Queensland University of Technology |
Relação |
http://eprints.qut.edu.au/70632/1/Thanh%20Duc_Huynh_Thesis.pdf Huynh, Thanh Duc (2014) Essays on momentum investing strategies. PhD thesis, Queensland University of Technology. |
Fonte |
QUT Business School; School of Economics & Finance |
Palavras-Chave | #Efficient Market Hypothesis #Momentum #Anomaly #Asset Pricing #News Sentiment |
Tipo |
Thesis |