Momentum Strategies

Abstract As time went by, the or so familiar investing instruments atomic number 18 timeworn and amaze（ex. Corporate bond、 Goernment exchequer Bond、 treasury bills）. withal that, those instruments are more acquainted(predicate) by most investors. Because of these reasons, at that place are many kinds of investment strategies that be invented in the stock market. For example, contrarian strategies and urge strategies are the most familiar strategies that we know. DeBondt and Thaler(1985,1987) proposed that stock prices everyplacely overreact to information and suggesting that contrarian strategies to strive abnormal harvest. That means esophagus losers and deal winners. Jegadeesh and Titman(1993) provided caprice strategies to reach out abnormal turn in in the stock market. They apply 16 different methods of momentum strategies to test if these methods could get abnormal return. They buy stocks with juicy returns over the previous(pr enominal) 3 to 12 months and sell stocks with scummy returns over the same period. We could find that the investors could get laid-back returns in the side by side(p) 3 to 6 months if the stocks were choose with high returns over the previous 3 to 6 months. In contrast, if the instruction execution of stocks were poor in the past, these stocks may more worse in the future.

Besides that, the result of Titmans paper shows that the return of short-selling is much degrade than the return of buy strategies. In most cases, the return of short-selling is invalidating for investors. In addition, Balvers(2001) used the same metho d that Jegadeesh(1993) has eer used to anal! ysis, and the difference is the sample period. However, the results are similar to Jegadeeshs conclusions. Whether momentum strategies are useful in short-selling stocks, we would like to cover these issues in this paper. What kinds of relationship between contrarian strategies and momentum strategies? Kaul and Nimalendran(1990), Jegadeesh and Titman(1995) tried to justify the turnabout of stock market through bid-ask spread, but the...If you indirect need to get a full essay, order it on our website: OrderCustomPaper.com

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