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

• 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: DRNTU::Business::Finance::Equity
• Online Access: http://hdl.handle.net/10356/21182
• Institution: Nanyang Technological University

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...