Since 2014
Momentum and calendar effects
Managerial Economics
View Archive Info| Field | Value | |
| Title |
Momentum and calendar effects
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| Creator |
Wojtowicz, Tomasz
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| Subject |
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price momentum, market efficiency |
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| 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.
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| Publisher |
AGH University of Science and Technology Press.
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| Contributor |
—
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| Date |
2012-11-11
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
https://journals.agh.edu.pl/manage/article/view/603
10.7494/manage.2012.11.115 |
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| Source |
Managerial Economics; Vol 11 (2012); 115
1898-1143 |
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| Language |
eng
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| Relation |
https://journals.agh.edu.pl/manage/article/view/603/460
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