A carregar...
Publicação
Momentum strategy among countries and industries: evidence from global stock indices and ETFs
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 1 MB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
This paper examines several momentum strategies for European countries and industries, namely on individual stock level, on macromomentum level and for ETFs. This study finds most evidence for momentum presence among individual stocks. Macromomentum using ranked indices was present, depending on the holding period and the category of industries or countries. Evidence on ETF level was not found. Equally weighted and value weighted methods were used, with the latter being closer to real life but showing less significant results. When comparing the different strategies, individual stock momentum seems to consistently outperform macro- and ETF momentum.
Descrição
Palavras-chave
Momentum Industries Countries Exchange-traded funds