Price momentum and trading volume: evidence from the Western- European stock market

Detalhes bibliográficos
Autor(a) principal: Lopes, David Miguel Silvério
Data de Publicação: 2018
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/49540
Resumo: This study aims to incorporate trading volume information, measured by share turnover, into price momentum strategies. Using the monthly constituents of the STOXX Europe Total Market Index, I find that low-volume portfolios obtain higher momentum returns than simple momentum portfolios, but trading volume does not predict the persistence of price momentum. My results are consistent with the slow information diffusion model of Hong and Stein (1999), and I hypothesize that trading volume might be a proxy for the rate of information diffusion across the market. Lastly, I document that price momentum strategies are only profitable in the second half of my time frame, which goes from January 2004 to December 2014.
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spelling Price momentum and trading volume: evidence from the Western- European stock marketEuropeEquitiesPrice momentumTrading volumeBehavioral financeDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis study aims to incorporate trading volume information, measured by share turnover, into price momentum strategies. Using the monthly constituents of the STOXX Europe Total Market Index, I find that low-volume portfolios obtain higher momentum returns than simple momentum portfolios, but trading volume does not predict the persistence of price momentum. My results are consistent with the slow information diffusion model of Hong and Stein (1999), and I hypothesize that trading volume might be a proxy for the rate of information diffusion across the market. Lastly, I document that price momentum strategies are only profitable in the second half of my time frame, which goes from January 2004 to December 2014.Zambrana, RafaelRUNLopes, David Miguel Silvério2018-10-22T10:56:30Z2018-06-062018-06-06T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/49540TID:201974320enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:25:12Zoai:run.unl.pt:10362/49540Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:32:13.957865Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Price momentum and trading volume: evidence from the Western- European stock market
title Price momentum and trading volume: evidence from the Western- European stock market
spellingShingle Price momentum and trading volume: evidence from the Western- European stock market
Lopes, David Miguel Silvério
Europe
Equities
Price momentum
Trading volume
Behavioral finance
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Price momentum and trading volume: evidence from the Western- European stock market
title_full Price momentum and trading volume: evidence from the Western- European stock market
title_fullStr Price momentum and trading volume: evidence from the Western- European stock market
title_full_unstemmed Price momentum and trading volume: evidence from the Western- European stock market
title_sort Price momentum and trading volume: evidence from the Western- European stock market
author Lopes, David Miguel Silvério
author_facet Lopes, David Miguel Silvério
author_role author
dc.contributor.none.fl_str_mv Zambrana, Rafael
RUN
dc.contributor.author.fl_str_mv Lopes, David Miguel Silvério
dc.subject.por.fl_str_mv Europe
Equities
Price momentum
Trading volume
Behavioral finance
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Europe
Equities
Price momentum
Trading volume
Behavioral finance
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This study aims to incorporate trading volume information, measured by share turnover, into price momentum strategies. Using the monthly constituents of the STOXX Europe Total Market Index, I find that low-volume portfolios obtain higher momentum returns than simple momentum portfolios, but trading volume does not predict the persistence of price momentum. My results are consistent with the slow information diffusion model of Hong and Stein (1999), and I hypothesize that trading volume might be a proxy for the rate of information diffusion across the market. Lastly, I document that price momentum strategies are only profitable in the second half of my time frame, which goes from January 2004 to December 2014.
publishDate 2018
dc.date.none.fl_str_mv 2018-10-22T10:56:30Z
2018-06-06
2018-06-06T00:00:00Z
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/10362/49540
TID:201974320
url http://hdl.handle.net/10362/49540
identifier_str_mv TID:201974320
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.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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