English, Article, Journal or magazine article edition: Mommentum in the UK Stock Market Ian Tonks; Mark T Hon

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/45317
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Mommentum in the UK Stock Market
Author
  • Ian Tonks
  • Mark T Hon
Physical Description
  • preprint
Notes
  • This paper investigates the presence of abnormal returns through the use of trading strategies that exploit the predictability of short run stock price movements. Based on historical returns of the largest set of individual securities in the UK stock market examined to date, this paper identifies profitable momentum trading strategies as investment tools over the period 1955-96. Our results show that returns on trading strategies cannot be accounted for by a simple adjustment for beta-risk. Also, although we find some evidence of a size effect in the UK stock market, this phenomenon cannot explain the momentum profits. The paper finds that these profitable investment strategies are apparent in the sub-sample 1977-96, in line with Liu, Strong and Xu (1999). However, they are not present in the earlier 1955-76 period. The implication is that momentum is not a general feature of the UK stock market, but is only apparent over certain time periods.
  • RePEc:fmg:fmgdps:dp405
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment