Essays about: "Transaction costs JEL classifications: G10"

Found 1 essay containing the words Transaction costs JEL classifications: G10.

  1. 1. The profitability of momentum trading strategies: A comparisonbetween stock markets in the Netherlands and Germany

    University essay from Uppsala universitet/Företagsekonomiska institutionen

    Author : Oliver Weil; [2017]
    Keywords : Momentum; Efficient markets; The Efficient Market Hypothesis; Transaction costs JEL classifications: G10; G11; G14; G15; G19;

    Abstract : Can momentum trading strategies beat Dutch or German stock market indices? If so, dothose strategies show significant positive net returns? For the period from March 2009 to March 2016this appears to be the case for only one out of the nine momentum trading strategies investigated withrespect to the Dutch stock market and for none of those same momentum trading strategiesinvestigated with respect to the German stock market. Furthermore, this research finds that the netmomentum returns seem to be winner- instead of loser-portfolio driven and that the longer the holdingperiod, the higher the net momentum returns realized. READ MORE