Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.668312
Title: A practical perspective on contrarian and momentum investment strategies' profitability : evidence from the US, UK and EU12 stock markets
Author: Naporowski, Artur
ISNI:       0000 0004 5366 4871
Awarding Body: University of York
Current Institution: University of York
Date of Award: 2014
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Abstract:
The stock return reversal effect (also known as the contrarian anomaly) and the stock return continuation effect (also known as the momentum anomaly) have been under close academic and professional scrutiny for over 20 years now. This is unsurprising given the potentially profound implications therefrom for the worlds of both theory and practice. In the former domain, support for the two past-return-based phenomena would represent strong and direct evidence against the cornerstone of modern financial theory, i.e. the efficient market hypothesis. In the latter domain, abnormal returns to contrarian and momentum investment strategies would mean that investors can outperform the market even by following a simple trading approach. This study focuses on the practical implications of the contrarian and momentum anomalies by considering issues of greatest importance to investors, including: a practicable methodology; realistic stock market conditions; the wider investment context; the economic significance of returns; taxation policies; or risk and market microstructure characteristics. Under consideration is a 12-year time period beginning in January 2000 and the following 13 stock markets: US (NYSE-AMEX), US (NASDAQ), UK (LSE), Bulgaria (BSE-Sofia), Cyprus (CSE), Czech Republic (PSE), Hungary (BSE), Lithuania (VSE), Poland (WSE), Romania (BVB), Slovakia (BSSE), Slovenia (LJSE) and the EU12. The main results of the present research indicate that the contrarian and momentum effects are non-existent in the analysed populations, at least by the adopted specifications and standards. This finding is, therefore, strongly supportive of weak-form efficiency.
Supervisor: Anderson, Keith ; Higgins, David Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.668312  DOI: Not available
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