Sökning: "Anastasia Korneva"

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  1. 1. Profitability of Momentum Strategies on the Eurozone Market

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Andrei Sandu; Anastasia Korneva; [2009]
    Nyckelord :momentum; Winner and Loser portfolios; zero-investment strategy; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : This paper investigates the profitability of the zero-cost strategies (Winner-Loser) on the Eurozone market for the time period 1999-2009. We find that the Winner portfolio outperforms the Loser portfolio by, on average, 0,8% per month when we combine formation and holding periods of 3, 6, 9 and 12 months. LÄS MER