portfolio returns. Non-monotonicity can even lead to equilibrium prices permitting simple arbitrage opportunities.In the two … interest parity can generally not be regarded as a no-arbitrage condition and can be considered as an equilibrium condition … only non-generically. The true arbitrage-free correlation between the exchange rate, interest rates, and security prices is …

The purpose of this paper is to expand the research on momentum strategies in the securities market. Specifically, it … examines the momentum anomaly in respect to the commodity futures market, and closely follows recent work as studied by Miffre … and Rallis (2007). This study identifies one statistically significant short term (1 to 12 months) momentum strategy …

This thesis identifies and examines evidence of e-commerce in three large businesses (Woolworths, Momentum and Santam …

Prior evidence concerning momentum in Australian equity returns has produced inconsistent results. This study examines … the interaction between momentum and firm size. Specifically, we report that momentum returns are significant only for … larger portfolios, and that this finding explains the inconsistent results of prior research. We demonstrate that momentum is …

with a long-short momentum portfolio. Within the same time period, a trading strategy using the sentiment scores from the … contemporaneous returns. The findings suggest that (i) the market underreacts to information contained in news articles, (ii) momentum …

The research topic of my thesis is the stock price momentum effect which states that stocks with high returns over the … that the profitability of momentum strategies is documented in many studies, for different samples and for different … periods. In the search for an explanation for the profitability of momentum strategies, the literature hasnot come to a …

In this paper, we follow Jegadeesh and Titman's (1993, Journal of Finance) approach to examine 25 momentum … momentum profitability in any of the 25 strategies. In contrast, there is some evidence of reversal effects where the past …-sectional variation of average stock returns in our momentum/contrarian strategies. There is no evidence of any seasonal pattern, and the …