Essays on momentum investing strategies
|
Thanh Duc Huynh Thesis
(PDF 1MB)
|
Description
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.
Impact and interest:
Citation counts are sourced monthly from Scopus and Web of Science® citation databases.
These databases contain citations from different subsets of available publications and different time periods and thus the citation count from each is usually different. Some works are not in either database and no count is displayed. Scopus includes citations from articles published in 1996 onwards, and Web of Science® generally from 1980 onwards.
Citations counts from the Google Scholar™ indexing service can be viewed at the linked Google Scholar™ search.
Full-text downloads:
Full-text downloads displays the total number of times this work’s files (e.g., a PDF) have been downloaded from QUT ePrints as well as the number of downloads in the previous 365 days. The count includes downloads for all files if a work has more than one.
| ID Code: | 70632 |
|---|---|
| Item Type: | QUT Thesis (PhD) |
| Supervisor: | Smith, Daniel & Hurn, Stan |
| Keywords: | Efficient Market Hypothesis, Momentum, Anomaly, Asset Pricing, News Sentiment |
| Divisions: | Past > QUT Faculties & Divisions > QUT Business School Current > Schools > School of Economics & Finance |
| Institution: | Queensland University of Technology |
| Deposited On: | 15 May 2014 04:50 |
| Last Modified: | 04 Sep 2017 14:41 |
Export: EndNote | Dublin Core | BibTeX
Repository Staff Only: item control page
CORE (COnnecting REpositories)
CORE (COnnecting REpositories)