NDLI: Can small investors exploit the momentum effect?

Content Provider	Springer Nature Link
Author	Sigas, Antonios
Copyright Year	2009
Abstract	This study uses UK data and investigates whether small investors can exploit the continuation effect in share prices. Individual traders are not in a financial position to buy and sell short hundreds of firms, as suggested by existing academic research, and thus this study uses extreme performance companies to implement the strategy. We find that strong momentum gains appear when extreme winners and losers are employed. These returns remain strong even after considering the transaction costs of implementing such strategies, including commissions, stamp duty, selling-short costs, and bid-ask spread. Overall, we show that a relatively large number of small investors can enjoy momentum gains, providing some evidence against stock market efficiency.
Starting Page	171
Ending Page	192
Page Count	22
File Format	PDF
ISSN	19344554
Journal	Financial Markets and Portfolio Management
Volume Number	24
Issue Number	2
e-ISSN	23738529
Language	English
Publisher	Springer US
Publisher Date	2009-12-22
Publisher Place	Boston
Access Restriction	Subscribed
Subject Keyword	Business/Management Science Finance/Investment/Banking Management/Business for Professionals
Content Type	Text
Resource Type	Article
Subject	Finance Accounting

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