Momentum Strategies

Abstract As time went by, the or so popular expend instruments atomic number 18 line of work and bond（ex. bodied bond、 Government exchequer Bond、 Treasury bills）. sympatheticly that, those instruments argon more acquainted(predicate) by about investors. Because of these reasons, there are many kinds of investment strategies that be invented in the stock market. For example, contrarian strategies and pulsation strategies are the most beaten(prenominal) strategies that we know. DeBondt and Thaler(1985,1987) proposed that stock prices also overreact to information and suggesting that contrarian strategies to strive irregular harvest. That means defile losers and repugn winners. Jegadeesh and Titman(1993) provided momentum strategies to reach give away abnormal take in the stock market. They used 16 different modes of momentum strategies to running if these methods could raise up abnormal diminish. They defile stocks with juicy returns over the forward 3 to 12 months and divvy up stocks with poor returns over the similar period. We could find that the investors could get high gear returns in the next 3 to 6 months if the stocks were choose with high returns over the previous 3 to 6 months. In contrast, if the direction execution of stocks were poor in the past, these stocks may more worse in the future.

Besides that, the matter of Titmans paper shows that the return of short-selling is much lower than the return of buy strategies. In most cases, the return of short-selling is negative for investors. In addition, Balvers(2001) used the same method that Jegadeesh(1993) has eer used to analysis, and the disparity is the sample period. However, the results are similar to Jegadeeshs conclusions. Whether momentum strategies are useful in short-selling stocks, we would the like to cover these issues in this paper. What kinds of kindred between contrarian strategies and momentum strategies? Kaul and Nimalendran(1990), Jegadeesh and Titman(1995) time-tested to justify the reversion of stock market through bid-ask spread, exclusively the...If you indirect request to get a full essay, install it on our website: Orderessay

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