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The Research Of Momentum Effect And Contrarian Effect On Recent Amemeran Stock Market

Posted on:2012-01-20Degree:MasterType:Thesis
Country:ChinaCandidate:F CaoFull Text:PDF
GTID:2189330341450005Subject:Business Administration
Abstract/Summary:PDF Full Text Request
This article mainly researched on past 20 years America stock market monthly return on momentum effect and contrarian effect. Empirical result shows that in last recent 20 years, obvious momentum effect still exist in the middle term (6 month) and long term (12 month) market, and weak contrarian effect exists in short term(3 month). And after considering turnover effect, the momentum effect has been enhanced, while the contrarian effect has no obvious change.In recent 20 years, there are several big trend reverse, after research the momentum effect of each trend period, momentum effect and contrarian effect has been obviously changed after each trend reverse.Besides these, this article also compare the return of selected portfolio to Standard Pool's composite index, and has shown that in most combination, buy winner portfolio will beat the market.
Keywords/Search Tags:Momentum Effect, Momentum Strategy, Contrarian Effect, Contrarian Strategy, Turn Over, Trading Volume
PDF Full Text Request
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