ISSN: 2450-7741
eISSN: 2300-4460
OAI
DOI: 10.18276/frfu.2016.4.82/2-24
Issue archive /
4/2016
Strategia momentum na GPW w Warszawie
(Momentum Strategy on the Warsaw Stock Exchange)
| Authors: | Paweł Sekuła |
| Keywords: | momentum strategy efficient market theory underreaction overreaction |
| Data publikacji całości: | 2016 |
| Page range: | 10 (289-298) |
Abstract
This paper evaluates explanations for the profitability of momentum strategies on the WSE. The analysis was conducted for the period 2005–2014. Momentum strategies are based on buying stocks with high returns over the previous 1–6 months and selling stocks with low re-turns over this same time. Strategies assume that the quotations of stocks tend to continue positive or negative tendencies of development. The evidence provides support for the behavioral models, but this support should be tempered with caution. The results are statistically significant only in the formation periods of 1 month.
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