A study on the relationship between momentum strategies and firm size.

Momentum strategies have attracted a widespread following ever since they were documented by Jegadeesh and Titman (1993). This study targets the momentum effect under a more relevant context from 1983 to 2008 in the American stock markets. We proved that the momentum effect exist in our period studi...

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Main Authors: Tan, Hong Thai., Hoo, Kuan Lian., Seow, Lawrence Tsu Zhu.
Other Authors: Choong Chewn Seng, Edmund
Format: Final Year Project
Language:English
Published: 2010
Subjects:
Online Access:http://hdl.handle.net/10356/21182
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.10356-211822023-05-19T05:41:36Z A study on the relationship between momentum strategies and firm size. Tan, Hong Thai. Hoo, Kuan Lian. Seow, Lawrence Tsu Zhu. Choong Chewn Seng, Edmund Nanyang Business School DRNTU::Business::Finance::Equity Momentum strategies have attracted a widespread following ever since they were documented by Jegadeesh and Titman (1993). This study targets the momentum effect under a more relevant context from 1983 to 2008 in the American stock markets. We proved that the momentum effect exist in our period studied and its sub-periods of bull and bear markets by replicating the methodology in Jegadeesh and Titman (1993). We observe that momentum returns are directly related to market capitalization, which is contrary to the findings of the firm size effect. There is also a significant difference in momentum returns under the effect of dividends and this reveals the possibility that there was a downward bias in the positive momentum profits originally documented by Jegadeesh and Titman (1993). In addition, the profitability of a momentum strategy is brought under question in lieu of the marginal momentum returns found under this study. BUSINESS 2010-03-22T05:56:03Z 2010-03-22T05:56:03Z 2010 2010 Final Year Project (FYP) http://hdl.handle.net/10356/21182 en Nanyang Technological University 40 p. application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic DRNTU::Business::Finance::Equity
spellingShingle DRNTU::Business::Finance::Equity
Tan, Hong Thai.
Hoo, Kuan Lian.
Seow, Lawrence Tsu Zhu.
A study on the relationship between momentum strategies and firm size.
description Momentum strategies have attracted a widespread following ever since they were documented by Jegadeesh and Titman (1993). This study targets the momentum effect under a more relevant context from 1983 to 2008 in the American stock markets. We proved that the momentum effect exist in our period studied and its sub-periods of bull and bear markets by replicating the methodology in Jegadeesh and Titman (1993). We observe that momentum returns are directly related to market capitalization, which is contrary to the findings of the firm size effect. There is also a significant difference in momentum returns under the effect of dividends and this reveals the possibility that there was a downward bias in the positive momentum profits originally documented by Jegadeesh and Titman (1993). In addition, the profitability of a momentum strategy is brought under question in lieu of the marginal momentum returns found under this study.
author2 Choong Chewn Seng, Edmund
author_facet Choong Chewn Seng, Edmund
Tan, Hong Thai.
Hoo, Kuan Lian.
Seow, Lawrence Tsu Zhu.
format Final Year Project
author Tan, Hong Thai.
Hoo, Kuan Lian.
Seow, Lawrence Tsu Zhu.
author_sort Tan, Hong Thai.
title A study on the relationship between momentum strategies and firm size.
title_short A study on the relationship between momentum strategies and firm size.
title_full A study on the relationship between momentum strategies and firm size.
title_fullStr A study on the relationship between momentum strategies and firm size.
title_full_unstemmed A study on the relationship between momentum strategies and firm size.
title_sort study on the relationship between momentum strategies and firm size.
publishDate 2010
url http://hdl.handle.net/10356/21182
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