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Momentum and reversals: An alternative explanation by non-conserved quantities

The International Journal of Latest Trends in Finance and Economic Sciences

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Title Momentum and reversals: An alternative explanation by non-conserved quantities
 
Creator Appel, Dominik
Dziergwa, Katrin
Grabinski, Michael
 
Description The momentum effect in stock trading means that stocks performing well in the past will do so in the future, too. A recent (seemingly) proof of it would be a big discovery: Stock prices would obey laws similar to the Newtonian equation of motion. However, using the recent result that stock prices are distinct from stock values, the whole mystery disappears without a trace. Stock prices fluctuate chaotically (in a mathematical sense). Therefore the momentum within stock prices is easily explained by a self-fulfilling prophecy as long as enough people believe in it. In the recent experimental "proof" of the momentum effect, stocks had been traded thousands of times. In generalizing the well-known average cost effect, we give a second quantitative explanation for the observed results.
 
Publisher International Journal of Latest Trends in Finance and Economic Sciences
 
Contributor —
 
Date 2012-03-30
 
Type —
 
Format application/pdf
 
Identifier http://ojs.excelingtech.co.uk/index.php/IJLTFES/article/view/428
10.2047/ijltfes.v2i1.428
 
Source International Journal of Latest Trends in Finance and Economic Sciences; Vol 2, No 1 (2012): March
 
Language en
 
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