Profitability of Momentum and Overreaction Trading Strategies in Switzerland Stock Market
DISSERTATION WITH DISTINCTION
محفوظ في:
| المؤلف الرئيسي: | |
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| منشور في: |
2012
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| الموضوعات: | |
| الوصول للمادة أونلاين: | http://bspace.buid.ac.ae/handle/1234/108 |
| الوسوم: |
إضافة وسم
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| _version_ | 1862980612696047616 |
|---|---|
| author | Naghavi, Mani |
| author_facet | Naghavi, Mani |
| author_role | author |
| dc.creator.none.fl_str_mv | Naghavi, Mani |
| dc.date.none.fl_str_mv | 2012-06 2013-05-21T07:27:06Z 2013-05-21T07:27:06Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | 80069 http://bspace.buid.ac.ae/handle/1234/108 |
| dc.language.none.fl_str_mv | en |
| dc.publisher.none.fl_str_mv | The British University in Dubai (BUiD) |
| dc.subject.none.fl_str_mv | trading strategies stock market Switzerland overreaction hypothesis momentum effect financial market |
| dc.title.none.fl_str_mv | Profitability of Momentum and Overreaction Trading Strategies in Switzerland Stock Market |
| dc.type.none.fl_str_mv | Dissertation |
| description | DISSERTATION WITH DISTINCTION |
| id | budr_80d0e10afa1738d118bc988ef7775839 |
| identifier_str_mv | 80069 |
| language_invalid_str_mv | en |
| network_acronym_str | budr |
| network_name_str | The British University in Dubai repository |
| oai_identifier_str | oai:bspace.buid.ac.ae:1234/108 |
| publishDate | 2012 |
| publisher.none.fl_str_mv | The British University in Dubai (BUiD) |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | Profitability of Momentum and Overreaction Trading Strategies in Switzerland Stock MarketNaghavi, Manitrading strategiesstock marketSwitzerlandoverreaction hypothesismomentum effectfinancial marketDISSERTATION WITH DISTINCTIONFollowing available literatures on overreaction hypothesis and momentum effect, this research examines the profitability of contrarian and momentum strategies within large cap/blue-chip stocks of Switzerland financial market. Using a high frequency tactical asset allocation, the winner stocks continued to yield a significant large return in one day after portfolio formation and the losers reported insignificant return, hence, momentum is found to be profitable strategy in one-day holding period with an average return of above 14% per annum. A significant contrarian profitability of over 5% is also observed in 3 and 10 days holding period. Furthermore, the result shows Friday and January effect within momentum return in one day holding period.The British University in Dubai (BUiD)2013-05-21T07:27:06Z2013-05-21T07:27:06Z2012-06Dissertationapplication/pdf80069http://bspace.buid.ac.ae/handle/1234/108enoai:bspace.buid.ac.ae:1234/1082021-10-06T12:01:49Z |
| spellingShingle | Profitability of Momentum and Overreaction Trading Strategies in Switzerland Stock Market Naghavi, Mani trading strategies stock market Switzerland overreaction hypothesis momentum effect financial market |
| title | Profitability of Momentum and Overreaction Trading Strategies in Switzerland Stock Market |
| title_full | Profitability of Momentum and Overreaction Trading Strategies in Switzerland Stock Market |
| title_fullStr | Profitability of Momentum and Overreaction Trading Strategies in Switzerland Stock Market |
| title_full_unstemmed | Profitability of Momentum and Overreaction Trading Strategies in Switzerland Stock Market |
| title_short | Profitability of Momentum and Overreaction Trading Strategies in Switzerland Stock Market |
| title_sort | Profitability of Momentum and Overreaction Trading Strategies in Switzerland Stock Market |
| topic | trading strategies stock market Switzerland overreaction hypothesis momentum effect financial market |
| url | http://bspace.buid.ac.ae/handle/1234/108 |