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 …

The aim within this paper is to analyze the difference between momentum and contrarian portfolios constructed under the …

contrarian approaches to rebalancing. A recent article proposed a rebalancing approach that incorporates a momentum approach to … rebalancing. The momentum approach had a better risk adjusted return than either the traditional approach or a Buy …-and-Hold approach. This article identifies an improvement to the momentum approach and then examines the impact of transactions costs …

momentum risk factor (as existing work has suggested), but also the widely-used U.S. size and value risk factors. We then build … novel pan-European and country-specific momentum, size, and value risk factors. By comparing our pan-European market returns …