Momentum strategy among countries and industries: evidence from global stock indices and ETFs

Detalhes bibliográficos
Autor(a) principal: Sagoenie, Yashini Gitanjali
Data de Publicação: 2019
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/26046
Resumo: This paper examines several momentum strategies for European countries and industries, namely on individual stock level, national or macromomentum level and for ETFs. This study finds most evidence for momentum presence among individual stocks. Momentum among indices was present, depending on the holding period and the category of industries or countries. Evidence on ETF level was not found. Equally weighted and value weighted methods were used, with the latter being closer to real life but showing less significant results. Comparing the different strategies shows individual stock momentum to consistently outperform macro- and ETFs momentum.
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spelling Sagoenie, Yashini GitanjaliEscolas::EESPBoons, MartijnPereira, Luís Filipe Neves BritesRochman, Ricardo Ratner2019-02-11T11:45:42Z2019-02-11T11:45:42Z2019-01-14http://hdl.handle.net/10438/26046This paper examines several momentum strategies for European countries and industries, namely on individual stock level, national or macromomentum level and for ETFs. This study finds most evidence for momentum presence among individual stocks. Momentum among indices was present, depending on the holding period and the category of industries or countries. Evidence on ETF level was not found. Equally weighted and value weighted methods were used, with the latter being closer to real life but showing less significant results. Comparing the different strategies shows individual stock momentum to consistently outperform macro- and ETFs momentum.Essa pesquisa discorre sobre diversas estratégias de momentum aplicadas a países e indústrias europeias. Foram analisadas estratégias individuais -por ação-, em nível nacional -macromomentum- e entre ETFs. A pesquisa encontra evidências da presença de momentum em estratégias para ações individuais. A existência de momentum entre índices depende do país, indústria e período de investimento. Por fim, não foram encontradas evidências para a existência de momentum entre ETFs. Foram utilizados, para a composição dos portfolios, ponderação igualitária e por participação de mercado, mais próxima da realidade, porém com resultados menos significativos. A comparação das diferentes estratégias mostra que estratégicas focadas em momentum para ações individuais superam consistentemente estratégias focadas em macromomentum ou ETFs.engMomentumIndustriesCountriesExchange-traded fundsIndústriasPaísesEconomiaFundos de investimentoInvestimentos - AnáliseAções (Finanças)IndústriasMomentum strategy among countries and industries: evidence from global stock indices and ETFsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVTEXTMomentum - Yashini Sagoenie.pdf.txtMomentum - Yashini Sagoenie.pdf.txtExtracted texttext/plain80848https://repositorio.fgv.br/bitstreams/aa3936a0-add8-4090-8b39-5e0cf591cc3c/download53870518821cfa24e258e38a66cae82dMD56ORIGINALMomentum - Yashini Sagoenie.pdfMomentum - Yashini 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dc.title.eng.fl_str_mv Momentum strategy among countries and industries: evidence from global stock indices and ETFs
title Momentum strategy among countries and industries: evidence from global stock indices and ETFs
spellingShingle Momentum strategy among countries and industries: evidence from global stock indices and ETFs
Sagoenie, Yashini Gitanjali
Momentum
Industries
Countries
Exchange-traded funds
Indústrias
Países
Economia
Fundos de investimento
Investimentos - Análise
Ações (Finanças)
Indústrias
title_short Momentum strategy among countries and industries: evidence from global stock indices and ETFs
title_full Momentum strategy among countries and industries: evidence from global stock indices and ETFs
title_fullStr Momentum strategy among countries and industries: evidence from global stock indices and ETFs
title_full_unstemmed Momentum strategy among countries and industries: evidence from global stock indices and ETFs
title_sort Momentum strategy among countries and industries: evidence from global stock indices and ETFs
author Sagoenie, Yashini Gitanjali
author_facet Sagoenie, Yashini Gitanjali
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EESP
dc.contributor.member.none.fl_str_mv Boons, Martijn
Pereira, Luís Filipe Neves Brites
dc.contributor.author.fl_str_mv Sagoenie, Yashini Gitanjali
dc.contributor.advisor1.fl_str_mv Rochman, Ricardo Ratner
contributor_str_mv Rochman, Ricardo Ratner
dc.subject.eng.fl_str_mv Momentum
Industries
Countries
Exchange-traded funds
topic Momentum
Industries
Countries
Exchange-traded funds
Indústrias
Países
Economia
Fundos de investimento
Investimentos - Análise
Ações (Finanças)
Indústrias
dc.subject.por.fl_str_mv Indústrias
Países
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Fundos de investimento
Investimentos - Análise
Ações (Finanças)
Indústrias
description This paper examines several momentum strategies for European countries and industries, namely on individual stock level, national or macromomentum level and for ETFs. This study finds most evidence for momentum presence among individual stocks. Momentum among indices was present, depending on the holding period and the category of industries or countries. Evidence on ETF level was not found. Equally weighted and value weighted methods were used, with the latter being closer to real life but showing less significant results. Comparing the different strategies shows individual stock momentum to consistently outperform macro- and ETFs momentum.
publishDate 2019
dc.date.accessioned.fl_str_mv 2019-02-11T11:45:42Z
dc.date.available.fl_str_mv 2019-02-11T11:45:42Z
dc.date.issued.fl_str_mv 2019-01-14
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/26046
url http://hdl.handle.net/10438/26046
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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