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Momentum in the Irish stock market

Momentum in the Irish stock market 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Economics Letters Taylor & Francis

Momentum in the Irish stock market

O'Donnell, Dan J.; Baur, Dirk G.
Applied Economics Letters , Volume 16 (11): 6 – Jul 1, 2009
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References (13)

Publisher
Taylor & Francis
Copyright
Copyright Taylor & Francis Group, LLC
ISSN
1466-4291
eISSN
1350-4851
DOI
10.1080/17446540802389032
Publisher site
See Article on Publisher Site

Abstract

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.

Journal

Applied Economics Letters – Taylor & Francis

Published: Jul 1, 2009

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