Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.21/1424
Título: Evidence of portuguese stock market abnormal returns
Autor: Duarte, Elisabete Mendes
Oliveira, Lisete Trindade
Palavras-chave: Momentum investing
Abnormal return
Portuguese stock market
Data: Jul-2011
Resumo: 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.
Peer review: yes
URI: http://hdl.handle.net/10400.21/1424
Aparece nas colecções:ISCAL - Comunicações

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