Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/21182
Full metadata record
DC FieldValueLanguage
dc.contributor.authorTan, Hong Thai.-
dc.contributor.authorHoo, Kuan Lian.-
dc.contributor.authorSeow, Lawrence Tsu Zhu.-
dc.date.accessioned2010-03-22T05:56:03Z-
dc.date.available2010-03-22T05:56:03Z-
dc.date.copyright2010en_US
dc.date.issued2010-
dc.identifier.urihttp://hdl.handle.net/10356/21182-
dc.description.abstractMomentum strategies have attracted a widespread following ever since they were documented by Jegadeesh and Titman (1993). This study targets the momentum effect under a more relevant context from 1983 to 2008 in the American stock markets. We proved that the momentum effect exist in our period studied and its sub-periods of bull and bear markets by replicating the methodology in Jegadeesh and Titman (1993). We observe that momentum returns are directly related to market capitalization, which is contrary to the findings of the firm size effect. There is also a significant difference in momentum returns under the effect of dividends and this reveals the possibility that there was a downward bias in the positive momentum profits originally documented by Jegadeesh and Titman (1993). In addition, the profitability of a momentum strategy is brought under question in lieu of the marginal momentum returns found under this study.en_US
dc.format.extent40 p.en_US
dc.language.isoenen_US
dc.rightsNanyang Technological University-
dc.subjectDRNTU::Business::Finance::Equityen_US
dc.titleA study on the relationship between momentum strategies and firm size.en_US
dc.typeFinal Year Project (FYP)en_US
dc.contributor.supervisorChoong Chewn Seng, Edmunden_US
dc.contributor.schoolCollege of Business (Nanyang Business School)en_US
dc.description.degreeBUSINESSen_US
item.fulltextWith Fulltext-
item.grantfulltextrestricted-
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)
Files in This Item:
File Description SizeFormat 
b4703.pdf
  Restricted Access
617.17 kBAdobe PDFView/Open

Page view(s) 50

277
checked on Oct 25, 2020

Download(s) 50

2
checked on Oct 25, 2020

Google ScholarTM

Check

Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.