Essays on momentum investing strategies
Huynh, Thanh Duc (2014) Essays on momentum investing strategies. PhD thesis, Queensland University of Technology.
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.
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|Item Type:||QUT Thesis (PhD)|
|Supervisor:||Smith, Daniel & Hurn, Stan|
|Keywords:||Efficient Market Hypothesis, Momentum, Anomaly, Asset Pricing, News Sentiment|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
|Institution:||Queensland University of Technology|
|Deposited On:||15 May 2014 04:50|
|Last Modified:||09 Sep 2015 06:03|
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