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论文作者:www.51lunwen.org论文属性:作业 Assignment登出时间:2014-06-10编辑:lzm点击率:8461
论文字数:3253论文编号:org201406092108361656语种:英语 English地区:中国价格:免费论文
关键词:Efficient Trading Market有效市场假说资本市场雷曼兄弟Momentum strategies
摘要:The study of both momentum and contrarian investment strategies is a very interesting and challenging discipline in finance, not only because the effectiveness of such strategies suggest a rejection of the EMH, but because research into the sources of these profits lies at the centre of comprehending the behaviour of market participants and how markets price securities.
These studies indicate that prices underreact to information and are mainly based on intermediate horizons. In their study, Jegadeesh and Titman show that stocks with higher returns over a particular intermediate investment horizon continue to perform better than firms with lower past returns in the same period. Using data from US stock exchanges, Conrad and Kaul (1998), and Hong et al. (1999, 2000) provide evidence supporting momentum strategies. Furthermore, Liu et al. (1999) have found comparable results in the UK.
Hon and Tonks (2003) expand the sample of Liu et al. to a total of 6600 stocks over the period January 1955 to December 1996. The results of Hon and Tonks are consistent with those of Liu et al. finding significantly positive returns, with the most profitable strategy being the one that holds the momentum portfolio for 6 months after a 12 month ranking period, yielding an annualised return of 16.2%. There is also evidence of abnormal excess return generated by momentum strategies across industries (Moskowitz and Grinblatt 1999).
Rouwenhorst (1998), Chui, Titman and Wei (2000), Griffin, Ji and Martin (2003) state that even after eliminating the effect of individual stock momentum, industry momentum strategies yield significant abnormal returns, across countries and Chen and DeBondt (2004) have found evidence of excess returns by momentum strategies across equity styles. Okunev and White (2003) find that it also exists in foreign currency spot market and Miffre and Rallis (2005) show the evidence of it in commodity futures market. Rouwenhorst (1998) investigates the possibility that momentum is limited to the US, examining momentum strategies in 12 European countries. Rouwenhorst’s results are similar to those of Jegadeesh and Titman, adding extra significance to the importance of the US results.
Except for the US and the UK, the span of evidence on the international presence of stock momentum is examined by Chui et al. (2000) who document momentum profits in Asian markets with the exceptions of Japan and Korea. Doukas and McKnight (2005) find significant momentum returns in 8 out of 13 European markets, whilst Forner and Marhuenda (2003) find significant momentum returns in the Spanish market.
2.2 Contrarian strategies
The studies carried out by DeBondt and Thaler (1985, 1987), Chan (1988), Chopra, Lakonishok, and Ritter (1992), and Richards (1997) show that the contrarian strategy of ranking portfolios according to past returns, buying the stocks with the worst performance and selling those with the best performance, generates positive excess returns over a long holding period (usually three to five years).
The overreaction hypothesis stands in contrast to the underreaction hypothesis supported by proponents of the momentum strategy. The success of the contrarian strategy has been credited to the overreaction hypothesis of DeBondt and Thaler (1985, 1987), DeLong et al. (1990, 1991), and Hong and Stein (1999). In 1996, Chan, Jagadeesh and Lakonishok argued that “Spelling out t本论文由英语论文网提供整理,提供论文代写,英语论文代写,代写论文,代写英语论文,代写留学生论文,代写英文论文,留学生论文代写相关核心关键词搜索。