Momentum and calendar effects
This paper examines the relationship between results of the analysis of the price momentum effect and data mining. Especially, the issue of the day of portfolio formation is considered. The analysis was carried on the basis of daily returns of stocks quoted on Warsaw Stock Exchange in 2003-2010. The...
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| Format: | Article |
| Language: | English |
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AGH UNIVERSITY PRESS
2012-11-01
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| Series: | Managerial Economics |
| Subjects: | |
| Online Access: | https://journals.agh.edu.pl/manage/article/view/603 |
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| _version_ | 1846115263534071808 |
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| author | Tomasz Wojtowicz |
| author_facet | Tomasz Wojtowicz |
| author_sort | Tomasz Wojtowicz |
| collection | DOAJ |
| description | This paper examines the relationship between results of the analysis of the price momentum effect and data mining. Especially, the issue of the day of portfolio formation is considered. The analysis was carried on the basis of daily returns of stocks quoted on Warsaw Stock Exchange in 2003-2010. The evidence indicates that profitability of the momentum strategies can be attributed to the choice of portfolio formation day. It also suggests the connection between mo- mentum and calendar effects. |
| format | Article |
| id | doaj-art-ac932a17d0e547f39929364db53e042f |
| institution | Kabale University |
| issn | 1898-1143 2353-3617 |
| language | English |
| publishDate | 2012-11-01 |
| publisher | AGH UNIVERSITY PRESS |
| record_format | Article |
| series | Managerial Economics |
| spelling | doaj-art-ac932a17d0e547f39929364db53e042f2024-12-19T16:09:38ZengAGH UNIVERSITY PRESSManagerial Economics1898-11432353-36172012-11-011110.7494/manage.2012.11.115Momentum and calendar effectsTomasz WojtowiczThis paper examines the relationship between results of the analysis of the price momentum effect and data mining. Especially, the issue of the day of portfolio formation is considered. The analysis was carried on the basis of daily returns of stocks quoted on Warsaw Stock Exchange in 2003-2010. The evidence indicates that profitability of the momentum strategies can be attributed to the choice of portfolio formation day. It also suggests the connection between mo- mentum and calendar effects.https://journals.agh.edu.pl/manage/article/view/603price momentummarket efficiency |
| spellingShingle | Tomasz Wojtowicz Momentum and calendar effects Managerial Economics price momentum market efficiency |
| title | Momentum and calendar effects |
| title_full | Momentum and calendar effects |
| title_fullStr | Momentum and calendar effects |
| title_full_unstemmed | Momentum and calendar effects |
| title_short | Momentum and calendar effects |
| title_sort | momentum and calendar effects |
| topic | price momentum market efficiency |
| url | https://journals.agh.edu.pl/manage/article/view/603 |
| work_keys_str_mv | AT tomaszwojtowicz momentumandcalendareffects |