Abstract:
This paper examines the profitability of momentum strategies implemented on international stock market indices. Our results indicate statistically significant evidence of momentum profits. The momentum profits arise mainly from time-series predictability in stock market indices--very little profit comes from predictability in the currency markets. We also find higher profits for momentum portfolios implemented on markets with higher volume in the previous period, indicating that return continuation is stronger following an increase in trading volume. This result confirms the informational role of volume and its applicability in technical analysis.
Citation:
Kalok Chan, Hameed, A., & Tong, W. (2000). Profitability of Momentum Strategies in the International Equity Markets. Journal of Financial & Quantitative Analysis, 35(2), 153–172.
Link to Paper:
https://www.jstor.org/stable/2676188?read-now=1&seq=19#metadata_info_tab_contents
About Sawyer Investment Management Company:
SIMCO is a Texas-registered Investment Adviser with its principal place of business in Dallas, Texas. It was formed on January 1, 2015 and is wholly owned by Ryan Sawyer, who is a CFA Charterholder and a Certified Public Accountant.
SIMCO specializes in the construction of equity portfolios, and is therefore an ideal resource for long-term investors. The firm goes through a rigorous process for selecting each and every holding in the portfolio. Rooted in the empirical research of academia, the portfolios are generally characterized as large-cap value momentum. For more information about how the portfolios are managed, see our website.
www.sawyerinvestment.com
https://www.facebook.com/Sawyer-Investment-Management-Company-1588110057913467/
https://twitter.com/SawyerInvest
https://sawyerinvestment.blogspot.com/
No comments:
Post a Comment