Profitability of Momentum Strategies in the International Equity Markets

This paper examines the profitability of momentum strategies implemented on international stock market indices. Our results indicate statistically significant evidence of momentum profits. The momentum profits arise mainly from time-series predictability in stock market indices-very little profit co...

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Veröffentlicht in:	Journal of financial and quantitative analysis 2000-06, Vol.35 (2), p.153-172
Hauptverfasser:	Chan, Kalok, Hameed, Allaudeen, Tong, Wilson
Format:	Artikel
Sprache:	eng
Schlagworte:	Certificates of deposit Emerging markets Exchange rates Financial portfolios International capital market International finance Investors Portfolio management Predictability Price momentum Profit Profitability Profits Regression analysis Securities markets Stock exchange Stock indexing Stock market indices Stock markets Stock prices Stock returns Studies Time series
Online-Zugang:	Volltext
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