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Is Momentum Really Momentum? International Evidence
Gong, Qiang; Liu, Ming; Liu, Qianqiu - Graduate School of International Relations, … - 2011
Novy-Marx (2010) finds that momentum is primarily driven by stock performance twelve to seven months prior to portfolio … whether intermediate horizon past performance is more dominant than 52-week high momentum strategy and recent past performance … 52-week high momentum effects are prevalent in international markets. The intermediate horizon past performance during …
Persistent link: https://www.econbiz.de/10010533612
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Weak-form market efficiency in European emerging and developed stock markets
Worthington, Andrew C.; Higgs, Helen - School of Economics and Finance, Business School - 2003
This paper tests for random walks and weak-form market efficiency in European equity markets. Daily returns for sixteen developed markets (Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United...
Persistent link: https://www.econbiz.de/10005416600
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Momentum strategies and market state in Moroccan industries
Gharaibeh, Omar K.; Kharabsheh, Buthiena; Al-Quran, Ali Z. - In: Cogent Business & Management 9 (2022) 1, pp. 1-15
This study aims to examine whether there is any evidence of momentum in Moroccan industries and whether these momentum … showed that there is ample evidence and statistically significant momentum returns in Moroccan industries. The sub …-sample findings support the evidence of momentum. This study also shows that momentum returns in the Moroccan industry are not …
Persistent link: https://www.econbiz.de/10014505447
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Foreigners Trading and Price Effects Across Firms
Dahlquist, Magnus; Robertsson, Göran - C.E.P.R. Discussion Papers - 2001
We study the investment behaviour of foreign investors in association with an equity market liberalization, and find a strong link between foreigners' trading and local market returns. In the period following the liberalization, foreigners' net purchases led to a permanent increase in prices, or...
Persistent link: https://www.econbiz.de/10005114153
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A simple test of momentum in foreign exchange markets
García-Suaza, Andres Felipe; González, José E. Gómez - UNIVERSIDAD DEL ROSARIO - 2011
This study proposes a new method for testing for the presence of momentum in nominal exchange rates, using a … exchange rates in the short-run, we show evidence of exchange rate inertia; in other words, we Önd that exchange rate momentum … are able to make excess returns by following technical analysis strategies. We Önd that the presence of momentum is …
Persistent link: https://www.econbiz.de/10008867440
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A Simple Test of Momentum in Foreign Exchange Markets
Garcia-Suaza, Andres Felipe; Gómez, Jose Eduardo - BANCO DE LA REPÚBLICA - 2011
This study proposes a new method for testing for the presence of momentum in nominal exchange rates, using a … exchange rates in the short-run, we show evidence of exchange rate inertia; in other words, we find that exchange rate momentum … are able to make excess returns by following technical analysis strategies. We find that the presence of momentum is …
Persistent link: https://www.econbiz.de/10008925622
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A Simple Test of Momentum in Foreign Exchange Markets
García-Suaza, Andrés Felipe; González, Jose Eduardo … - Banco de la Republica de Colombia
This study proposes a new method for testing for the presence of momentum in nominal exchange rates, using a … exchange rates in the short-run, we show evidence of exchange rate inertia; in other words, we find that exchange rate momentum … are able to make excess returns by following technical analysis strategies. We find that the presence of momentum is …
Persistent link: https://www.econbiz.de/10008925694
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Foreigners´ Trading and Price Effects Across Firms
Dahlquist, Magnus; Robertsson, Göran - Institute for Financial Research (SIFR) - 2001
We study the investment behavior of foreign investors in association with an equity market liberalization, and find a strong link between foreigners´ trading and local market returns. In the period following the liberalization, foreigners´ net purchases led to a permanent increase in prices,...
Persistent link: https://www.econbiz.de/10005651559
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Generalized Momentum Asset Allocation Model
Arendarski, Piotr; Misiewicz, Paweł; Nowak, Mariusz; … - Wydział Nauk Ekonomicznych, Uniwersytet Warszawski - 2014
In this paper we propose Generalized Momentum Asset Allocation Model (GMAA). GMAA is a new approach to construct …
Persistent link: https://www.econbiz.de/10011114847
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Industry herding and momentum strategies
Demirer, Rıza; Lien, Donald; Zhang, Huacheng - In: Pacific-Basin Finance Journal 32 (2015) C, pp. 95-110
This paper evaluates the impact of industry herding on return momentum. While the findings support that winner … industries outperform loser industries in subsequent months, we find that the profitability of industry momentum strategies … momentum returns is in fact the driving factor behind profitable, zero-cost momentum strategies and suggests that the level of …
Persistent link: https://www.econbiz.de/10011263633