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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:8460
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.
The return on the momentum portfolio is then measured as the difference between the returns of the winner and the loser stock. The procedure is moved forward to create new winner, loser and momentum portfolios. For example, in the 3-1 strategy, the winner/loser portfolio is formed at the end of December, based on past 3 months return, holding this portfolio for 1 month, and forming a new portfolio at the end of January.
Once a stock exposure is initiated it is held for a period, at which time the foreign exchange position is re-evaluated. The return of momentum is simply defined as the difference in the returns of the winner and loser stock. We can form 16 distinct strategies; (1-1, 1-3, 1-6, 1-12, 3-1, 3-3, 3-6, 3-12, 6-1, 6-3, 6-6, 6-12, 12-1, 12-3, 12-6, 12-12). A brief description of the 1-1 strategy follows:
1-1 strategy:
Both the ranking and the holding period for this strategy is 1 month. We calculate the returns for all stocks beginning from January 1987 to November 2007 and rank them from the most attractive stock to the least attractive for each month. Once the strongest and weakest stocks are identified, a long/short position is taken by buying the most profitable stock and selling the least profitable one.
For each month, we calculate the profits/losses of our “sub-portfolios” and at the end of the year we calculate the total profits/losses of our portfolio. For example, in this strategy the winner/loser portfolios were formed at the end December , based on the previous month’s returns, holding this portfolio for 1 month, and forming a new portfolio at the end of January. We will follow the same procedure to form the other strategies, by changing the ranking and holding period for each one and we will also carry out the contrarian strategy for the same ranking and holding periods under which, the weakest momentum stock is bought and the strongest momentum stock is sold.
7. Conclusions
After carrying out the study we expect that the momentum profitability effect will be present in the Greek stock market and these results would be consistent with the results in previous studies about the existence of momentum profits in the European and emerging markets and the studies for the existence of momentum profitability in the ASE.
A study published in the Financial Times on February 18th by Dimson, Marsh and Staunton states that “momentum investing in equity markets delivers striking and remarkably persistent excess returns” They conclude: “Though costly to implement on a stand-alone basis, all investors need to be acutely aware of momentum. Even if they do not set out to exploit it, momentum is likely to be an important determinant of their performance”.
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 com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。