Essays about: "contrarian investment strategy"

Showing result 6 - 10 of 10 essays containing the words contrarian investment strategy.

1. 6. To return or not return - Trend spotting in the Swedish market

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Henrik Fulgentiusson; Lenny Erlesand; [2010]
   Keywords : economic policy; economic systems; economic theory; econometrics; Economics; efficient market hypothesis EMH ; contrarian strategy; momentum; Random Walk; mean reversion; Sharpe Ratio; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : The following essays checks whether the Swedish stock market (represented by OMXS30) supports the weak efficiency of the EMH by observing whether the stocks contain a unit root and whether one can use trading strategies to create abnormal profits. The AR(1) model of the stock prices have a unit root coefficient very close to 1, thus they are trend stationary but have a very long memory. READ MORE

3. 7. Sector Rotation Strategy Applied on the Swedish Stock Market : Do Swedish sector indices experience momentum effects?

   University essay from Företagsekonomiska institutionen

   Author : Mattias Larsson; Peter Dellgren; [2009]
   Keywords : Sector Rotation Strategy; Momentum effects; Contrarian effects; CAPM; Efficient Market Hypothesis; Exchange Traded Funds;

   Abstract : This thesis is an empirical analysis on momentum effects on the Swedish stock exchange’s sector indicesduring the period 2001 to 2009. The momentum effect is investigated by buying previous winner andshort selling previous losers with holding and formation periods over an intermediate time period (1-12month period). READ MORE

4. 8. Stock Return Reversal on the Stockholm Stock Exchange

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Michael Blomqvist; Sofie Trägårdh; [2009]
   Keywords : Stock return reversal; Contrarian strategy; Overreaction;

   Abstract : The purpose of this paper has been to investigate whether a long term reversal investment strategy can be used to identify mispriced stocks and thereby earn abnormal returns on the Stockholm Stock Exchange during the period of 1982 to 2009.We assign the stocks to decile portfolios according to their five year historical period returns. READ MORE

5. 9. Sector Neutral Contrarian Strategies: - A study of short-term contrarian strategies in the Dow Jones STOXX 600

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Christoffer Geijer; Christofer Nordlander; [2009]
   Keywords : Short-term contrarian strategy; price reversals; industry effect;

   Abstract : This paper studies short-term contrarian strategies in the Dow Jones STOXX 600 between 1993 and 2008 taking on a sector neutral approach. The contribution to the literature is two folded. First, we investigate short-term contrarian strategies on an index covering 18 European countries. READ MORE

6. 10. Volatility Based Sentiment Indicators for Timing the Markets

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Fabio Antonio Cacia; Rossen Tzvetkov; [2008]
   Keywords : GARCH; volatility; sentiment; VIX; market timing signals; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : VIX, published by the Chicago Board Options Exchange, is a well known implied volatility estimator. In this paper we assess its capability to be used as a sentiment indicator, and to give signals for a short term investment strategy. READ MORE