The profitability of momentum strategies using stock futures contracts in small markets

This paper investigates the profitability of non-traditional momentum strategies using stock futures contracts. The results lead to the conclusion that these strategies dominate those implemented using stocks. Despite this, however, no positive returns are found during the sample period after adjusting for risk and transaction costs.

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Year of publication:	2006
Authors:	Corredor, Pilar ; Muga, Luis ; Santamaria, Rafael
Published in:	Applied Financial Economics Letters. - Taylor and Francis Journals, ISSN 1744-6546. - Vol. 2.2006, 3, p. 173-177
Publisher:	Taylor and Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005495876