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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481 since deposited on 15 May 2014
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ID Code: 70632
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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