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Found 5 essays matching the above criteria.

1. 1. Momentum During Intraday. Trading Evidence from US NASDAQ

   University essay from Göteborgs universitet/Graduate School

   Author : Kristoffer Frösing; [2017-07-25]
   Keywords : Momentum; Contrarian; Relative strength; Intraday; Trading strategy; Abnormal returns;

   Abstract : Both momentum and contrarian strategies have shown to provide investors with high risk-adjusted returns when applied on daily, weekly and monthly data. This study examines the effect of the underreaction phenomenon on the US NASDAQ stock market between November 2016 and February 2017. READ MORE

3. 2. Exploiting Market Reactions to Dividend Cuts : Contrarian Trading Strategies in a Short Investment Horizon - Evidence from the Swedish Stock Market

   University essay from Uppsala universitet/Företagsekonomiska institutionen

   Author : Jacob Magnusson Magnusson; N. E. Ludvig Karlsson; [2016]
   Keywords : Contrarian Trading Strategies; Dividend Announcements; Abnormal Returns; Event Study;

   Abstract : This paper investigates the impact of dividend reduction announcements on the returns to stocks listed on the Stockholm Stock Exchange. We perform an event study on dividend cutting firms between 2002-2016 to determine if contrarian trading on the basis of negative dividend announcement yields abnormal returns. READ MORE

4. 3. Exploring the Momentum Strategy

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Emil Sandstedt; Alexander Wojt; [2011]
   Keywords : Momentum; Trading Strategy; Contrarian behavior;

   Abstract : During different periods in history, buying past winners and selling past losers have proven a profitable strategy when applied to portfolios consisting of stocks. Naturally, if such an opportunity exists it should after a while disappear as arbitrageurs profit. READ MORE

5. 4. Momentum and Contrarian Trading Strategies: Evidence from the Chinese stock market 2000-2010

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Chaoqiong Shi; [2011]
   Keywords : Contrarian effect; Momentum effect; The relative strength portfolio; CAPM model; Overreaction; Underreaction.; Business and Economics;

   Abstract : The paper employs Jegadeesh and Titman (1993)’s overlapping ranking period method to build winner-portfolio and loser-portfolio, and thereafter conducts empirical studies on the momentum and contrarian effects on the Chinese stock market from 2000 to 2010. One thing worth mentioning here is that the author processes the data using her own Matlab codes instead of doing tremendous manual work. READ MORE

6. 5. 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