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Can small investors exploit the momentum effect?

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  • Antonios Siganos

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    File URL: http://hdl.handle.net/10.1007/s11408-009-0120-3
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    Bibliographic Info

    Article provided by Springer in its journal Financial Markets and Portfolio Management.

    Volume (Year): 24 (2010)
    Issue (Month): 2 (June)
    Pages: 171-192

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    Handle: RePEc:kap:fmktpm:v:24:y:2010:i:2:p:171-192

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    Web page: http://www.springerlink.com/link.asp?id=119763

    Related research

    Keywords: Stock market efficiency; Momentum effect; Transaction cost; G14; G11;

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    References

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    1. Narasimhan Jegadeesh, 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, American Finance Association, American Finance Association, vol. 56(2), pages 699-720, 04.
    2. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, American Finance Association, vol. 51(1), pages 55-84, March.
    3. Zhiwu Chen & Werner Stanzl & Masahiro Watanabe, 2002. "Price Impact Costs and the Limit of Arbitrage," Yale School of Management Working Papers, Yale School of Management ysm251, Yale School of Management, revised 08 Jun 2006.
    4. Bruce Mizrach & Susan Weerts, 2004. "Experts Online: An Analysis of Trading Activity in a Public Internet Chat Room," Departmental Working Papers, Rutgers University, Department of Economics 200412, Rutgers University, Department of Economics.
    5. Sam Agyei-Ampomah, 2007. "The Post-Cost Profitability of Momentum Trading Strategies: Further Evidence from the UK," European Financial Management, European Financial Management Association, vol. 13(4), pages 776-802.
    6. Brad M. Barber & Terrance Odean, 2000. "Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors," Journal of Finance, American Finance Association, American Finance Association, vol. 55(2), pages 773-806, 04.
    7. Terrance Odean, 1998. "Are Investors Reluctant to Realize Their Losses?," Journal of Finance, American Finance Association, American Finance Association, vol. 53(5), pages 1775-1798, October.
    8. Xiafei Li & Chris Brooks & Jöelle Miffre, 2007. "Low-Cost Momentum Strategies," ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University icma-dp2007-12, Henley Business School, Reading University.
    9. K. Geert Rouwenhorst, 1998. "International Momentum Strategies," Journal of Finance, American Finance Association, American Finance Association, vol. 53(1), pages 267-284, 02.
    10. John M. Griffin & Xiuqing Ji & J. Spencer Martin, 2003. "Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole," Journal of Finance, American Finance Association, American Finance Association, vol. 58(6), pages 2515-2547, December.
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    Cited by:
    1. Nandkumar Nayar & Ajai Singh & Wen Yu, 2011. "Unraveling a puzzle: the case of value line timeliness rank upgrades," Financial Markets and Portfolio Management, Springer, Springer, vol. 25(4), pages 379-409, December.
    2. Hans-Peter Burghof & Felix Prothmann, 2011. "The 52-week high strategy and information uncertainty," Financial Markets and Portfolio Management, Springer, Springer, vol. 25(4), pages 345-378, December.
    3. Nicholas Rueilin Lee, 2012. "Firm ratings, momentum strategies, and crises: evidence from the US and Taiwanese stock markets," Financial Markets and Portfolio Management, Springer, Springer, vol. 26(4), pages 449-468, December.
    4. Laura Andreu & Laurens Swinkels & Liam Tjong-A-Tjoe, 2013. "Can exchange traded funds be used to exploit industry and country momentum?," Financial Markets and Portfolio Management, Springer, Springer, vol. 27(2), pages 127-148, June.

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