Strategia momentum na GPW w Warszawie
Momentum Strategy on the Warsaw Stock Exchange
Author(s): Paweł SekułaSubject(s): Economy, Business Economy / Management
Published by: Wydawnictwo Naukowe Uniwersytetu Szczecińskiego
Keywords: momentum strategy; efficient market theory; underreaction; overreaction
Summary/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.
Journal: Finanse, Rynki Finansowe, Ubezpieczenia
- Issue Year: 2016
- Issue No: 82 (2)
- Page Range: 289-298
- Page Count: 10
- Language: Polish