کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
963541 | 930363 | 2010 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
International comparison of returns from conventional, industrial and 52-week high momentum strategies
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
The performance of industrial and 52-week high momentum strategies is compared to the conventional strategy, using a large sample of stocks drawn from multiple countries covering a quarter of century to 2007. The sample of 51,879 stocks in 51 countries removes the potential for criticism, such as data mining, and provides more generalisable findings and knowledge concerning the robustness and usefulness of return from momentum strategies. Both the industry and 52-week high strategies generate positive returns but neither is greater than the conventional momentum strategy. A new 52-week high industry momentum strategy is examined and it achieves a similar result.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 20, Issue 4, October 2010, Pages 423-435
Journal: Journal of International Financial Markets, Institutions and Money - Volume 20, Issue 4, October 2010, Pages 423-435
نویسندگان
Kartick Gupta, Stuart Locke, Frank Scrimgeour,