Starting from the second half of the Seventies, several researches made in the financial markets doubt the existence of the efficient market hypothesis. In particular, large analyses on this item document evidence in the stock prices of patterns that allow us to obtain extra return. Among these “anomalies”, classified into various categories, basing on the different subject of the research, it is emphasized the existence of the short-term “momentum” effect (Jegadeesh and Titman, 1993), from which we can draw out the trading strategy suggesting us to buy the “winner” securities and to sell the “loser” ones. The basic idea of this strategy is that stock performances persist in the short-term, so the winners will go on winning and vice versa. The portfolios that in the previous period have achieved high performances will persist after their formation period and will overperform portfolios that in the previous periods have obtained lower results. Momentum trading strategies are particularly profitable not only in the USA, but also in European markets (Rouwenhorst, 1988); on the opposite, the effect is very weak in the Asian market, especially in the Japanese one (Chui, Titman and Wei, 2000). At the present time, researches carried out on this item are focused on the sources of the momentum profits. The argument is particularly argued because, being the traditional finance not able to explain the profits of the strategy, several researchers look to the behavioural models. These ones, even if sharing the same subject of the research (that is, everyone of them has the purpose to explain the way in which information are reflected in stock prices, causing a positive correlation in the short term), are however different because of the kind of psychological phenomenon at the origin of it. That is, if it is determined by an over or an underreaction to the event by the investors. So, researchers build different hypothesis about the heuristic mistakes that affect the investors’ behaviour (Daniel, Hirshleifer and Subrahmanyam, 1998; Barberis, Shleifer and Vishny, 1998; Hong and Stein, 1999).
Battaglia, F. (2008). Le strategie di trading basate sull’effetto momentum.
|Titolo:||Le strategie di trading basate sull’effetto momentum|
|Data di pubblicazione:||3-giu-2008|
|Anno Accademico:||A.A. 2005/2006|
|Corso di dottorato:||Banca e finanza|
|Settore Scientifico Disciplinare:||Settore SECS-P/03 - Scienza delle Finanze|
|Tipologia:||Tesi di dottorato|
|Citazione:||Battaglia, F. (2008). Le strategie di trading basate sull’effetto momentum.|
|Appare nelle tipologie:||07 - Tesi di dottorato|
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