The profitability of momentum trading strategies in the Irish equity market

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dc.contributor.authorO'Sullivan, Fionnghuala
dc.contributor.authorO'Sullivan, Niall
dc.date.accessioned2014-11-27T16:53:49Z
dc.date.available2014-11-27T16:53:49Z
dc.date.issued2010-07
dc.date.updated2013-05-29T11:08:03Z
dc.description.abstractWe examine the profitability of momentum-based trading strategies in the Irish equity market between 1988 and 2007. We investigate a range of trading strategies over alternative backward-looking ranking periods and forward-looking holding horizons as well as for alternative size momentum portfolios. We find that returns to momentum-based strategies are highly non-normally distributed, giving rise to concern about the validity of inferences based on standard statistical tests of their abnormal performance. We therefore apply a bootstrap procedure to construct nonparametric p-values for the portfolio performance measures. Overall, we find little evidence that momentum-based trading strategies would have yielded an abnormal risk-adjusted return over the period. The Irish equity market appears to be quite efficient in this respect.en
dc.description.statusPeer revieweden
dc.description.versionAccepted Versionen
dc.format.mimetypeapplication/pdfen
dc.identifier.citationO' Sullivan, F; O' Sullivan, N; (2010) 'The Profitability of Momentum Trading Strategies in the Irish Equity Market'. Irish Accounting Review, 17 (1):55-68.en
dc.identifier.endpage68en
dc.identifier.issn0791-9638
dc.identifier.issued1en
dc.identifier.journaltitleIrish Accounting Reviewen
dc.identifier.startpage55en
dc.identifier.urihttps://hdl.handle.net/10468/1720
dc.identifier.volume17en
dc.language.isoenen
dc.publisherBlackhall Publishingen
dc.subjectStock exchangesen
dc.subjectSecurities tradingen
dc.subjectCost centresen
dc.subjectPortfolio performanceen
dc.titleThe profitability of momentum trading strategies in the Irish equity marketen
dc.typeArticle (peer-reviewed)en
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