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 leads us to conclude 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:	[2007]
Authors:	Corredor, Pilar
Other Persons:	Muga, Luis (contributor) ; Santamaría Aquilué, Rafael (contributor)
Publisher:	[2007]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: Applied Financial Economics Letters, Vol. 2, pp. 173-177, 2006 Volltext nicht verfügbar
Classification:	G14 - Information and Market Efficiency; Event Studies ; G19 - General Financial Markets. Other ; C14 - Semiparametric and Nonparametric Methods
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012778542