Profitability of Momentum and Overreaction Trading Strategies in Switzerland Stock Market
| dc.Location | 2012 HG 1601 N34 | |
| dc.Supervisor | Dr Elango Rengasamy | |
| dc.contributor.author | Naghavi, Mani | |
| dc.date.accessioned | 2013-05-21T07:27:06Z | |
| dc.date.available | 2013-05-21T07:27:06Z | |
| dc.date.issued | 2012-06 | |
| dc.description | DISSERTATION WITH DISTINCTION | |
| dc.description.abstract | 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. | en_US |
| dc.identifier.other | 80069 | |
| dc.identifier.uri | http://bspace.buid.ac.ae/handle/1234/108 | |
| dc.language.iso | en | en_US |
| dc.publisher | The British University in Dubai (BUiD) | en_US |
| dc.subject | trading strategies | en_US |
| dc.subject | stock market | en_US |
| dc.subject | Switzerland | en_US |
| dc.subject | overreaction hypothesis | en_US |
| dc.subject | momentum effect | en_US |
| dc.subject | financial market | en_US |
| dc.title | Profitability of Momentum and Overreaction Trading Strategies in Switzerland Stock Market | en_US |
| dc.type | Dissertation | en_US |