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Contribution Details

Type Master's Thesis
Scope Discipline-based scholarship
Title Momentum Strategies in International Equity Markets
Organization Unit
Authors
  • Benjamin Huwyler
Supervisors
  • Runjie Geng
  • Felix Kübler
Language
  • English
Institution University of Zurich
Faculty Faculty of Business, Economics and Informatics
Date 2020
Abstract Text The findings of this master’s thesis provide evidence on the profitabil-ity of momentum strategies when focusing on liquid stocks in aggre-gated market data. However, when potentially illiquid stocks are also considered, the profitability of most strategies vanishes favoring the use of contrarian strategies. The thesis could not corroborate momen-tum in every country and shows large discrepancies across markets. While Indian stocks delivered the best returns, momentum in U.S. stock returns could not be found. The main driver of negative perfor-mances has been identified to be past losers which exhibit a trend re-versal and deliver strong positive returns. In general, the strategies’ performances in BRIC states are superior to those in developed na-tions. Further, delayed portfolio formation did not alter the results and shows no signs of return reversal in the long run. The results have important implications for the efficiency of markets and the collective behavior of market participants in times of quantitative easing and high frequency trading.
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