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Study On Applying Of The Momentum And Contrarian Strategy By Mutual Fund

Posted on:2005-10-05Degree:MasterType:Thesis
Country:ChinaCandidate:F FengFull Text:PDF
GTID:2156360125455884Subject:Finance
Abstract/Summary:PDF Full Text Request
This paper uses the empirical method to investigate the profitable of momentum strategy and contrarian strategy in China, and tests the relativity between the applying of these strategies by mutual fund and it's performance. Considering usual performance evaluation method is post-evaluation, this paper tries to induce a pre-evaluation index to predict the future performance of mutual fund. The index can deliver theoretical method to optimize the fund choice.This paper consists of 4 chapters. Chapter 1 focuses on the efficiency of the market and compare with different views of EMH and Behavior Finance. We will doubt on the EMH by the anomalies, especially based on under-reaction and over-reaction, some savant offered momentum strategy and contrarian strategy. We summarize the studies on it.Chapter 2 tests the profitable of momentum strategy and contrarian strategy by using the week exchange data, and prove the stability and prominence of the profitable of these two strategies by dividing the time zone into 3 sub time zone.Chapter 3 introduces usual investment strategies by institutional investors. Considering the persistence of mutual fund performance, we figure out the limit of the post-evaluation method and offer the per-evaluation index to predict the future performance.Chapter 4 presents a pre-evaluation index to measure the applying of momentum strategy and contrarian strategy of mutual fund, and analyses the relation of the pre-evaluation and post performance. At last, we offer a pre-evaluation index to predict the future performance and order the mutual fund by the index.
Keywords/Search Tags:Momentum and contrarian strategy, Mutual fund, Performance
PDF Full Text Request
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