Publication
Evidence of portuguese stock market abnormal returns
| dc.contributor.author | Duarte, Elisabete Mendes | |
| dc.contributor.author | Oliveira, Lisete Trindade | |
| dc.date.accessioned | 2012-04-23T12:07:22Z | |
| dc.date.available | 2012-04-23T12:07:22Z | |
| dc.date.issued | 2011-07 | |
| dc.description.abstract | According to the stock market efficiency theory, it is not possible to consistently beat the market. However, technical analysis is more and more spread as an efficient way to achieve abnormal returns. In fact there is evidence that momentum investing strategies provide abnormal returns in different stock markets, Jegadeesh, N. and Titman, S. (1993), George, T. and Hwang, C. (2004) and Du, D. (2009). In this work we study if like other markets, the Portuguese stock market also allows to obtain abnormal returns, using a strategy that consists in picking stocks according to their past performance. Our work confirms the results of Soares, J. and Serra, A. (2005) and Pereira, P. (2009), showing that an investor can get abnormal returns investing in momentum portfolios. The Portuguese stock market evidences momentum returns in short term, exhibiting reversal in long term. | por |
| dc.identifier.uri | http://hdl.handle.net/10400.21/1424 | |
| dc.language.iso | eng | por |
| dc.peerreviewed | yes | por |
| dc.subject | Momentum investing | por |
| dc.subject | Abnormal return | por |
| dc.subject | Portuguese stock market | por |
| dc.title | Evidence of portuguese stock market abnormal returns | por |
| dc.type | conference object | |
| dspace.entity.type | Publication | |
| oaire.citation.conferencePlace | XII Iberian-Italian Congress of Financial and Actuarial Mathematics | por |
| rcaap.rights | openAccess | por |
| rcaap.type | conferenceObject | por |