Momentum in the Irish stock market

被引：5
|
作者：
O'Donnell, Dan J. [1 ]
Baur, Dirk G. [1 ]
机构：
[1] Dublin City Univ, Sch Business, Dublin 9, Ireland
来源：
APPLIED ECONOMICS LETTERS | 2009年 / 16卷 / 11期
关键词：
STRATEGIES;
D O I：
10.1080/17446540802389032
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This article is the first to study momentum trading strategies in the Irish stock market. The findings can be summarized as follows: (i) unconditional momentum trading strategies do not outperform the market, (ii) winner and loser trading strategies do outperform the market and (iii) controlling for heteroscedasticity significantly changes the results and yields positive and significant excess returns for most of the 16 momentum trading strategies analysed. These findings illustrate that investors can persistently earn excess returns in the Irish stock market.
引用
收藏
页码：1133 / 1138
页数：6
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