The four risk factors controlling for the market, size, value and momentum effect have become a state …

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 …

We investigate the emergence of momentum and reversal anomalies in a general equilibrium model with complete markets … we consider. Overall, the model is generically able to reproduce the empirical evidence of momentum profits that …

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 …