Browsing by Author "Naghavi, Mani"

Now showing 1 - 1 of 1
  • Thumbnail Image
    Item
    Profitability of Momentum and Overreaction Trading Strategies in Switzerland Stock Market
    (The British University in Dubai (BUiD), 2012-06) Naghavi, Mani
    Following available literatures on overreaction hypothesis and momentum effect, this research examines the profitability of contrarian and momentum strategies within large cap/blue-chip stocks of Switzerland financial market. Using a high frequency tactical asset allocation, the winner stocks continued to yield a significant large return in one day after portfolio formation and the losers reported insignificant return, hence, momentum is found to be profitable strategy in one-day holding period with an average return of above 14% per annum. A significant contrarian profitability of over 5% is also observed in 3 and 10 days holding period. Furthermore, the result shows Friday and January effect within momentum return in one day holding period.