The profitability of momentum trading strategies in the Irish equity market

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dc.contributor.author O'Sullivan, Fionnghuala
dc.contributor.author O'Sullivan, Niall
dc.date.accessioned 2014-11-27T16:53:49Z
dc.date.available 2014-11-27T16:53:49Z
dc.date.issued 2010-07
dc.identifier.citation O' 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.volume 17 en
dc.identifier.issued 1 en
dc.identifier.startpage 55 en
dc.identifier.endpage 68 en
dc.identifier.issn 0791-9638
dc.identifier.uri http://hdl.handle.net/10468/1720
dc.description.abstract We 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.format.mimetype application/pdf en
dc.language.iso en en
dc.publisher Blackhall Publishing en
dc.subject Stock exchanges en
dc.subject Securities trading en
dc.subject Cost centres en
dc.subject Portfolio performance en
dc.title The profitability of momentum trading strategies in the Irish equity market en
dc.type Article (peer-reviewed) en
dc.internal.authorcontactother Niall O'Sullivan, Economics, University College Cork, Cork, Ireland. +353-21-490-3000 Email: niall.osullivan@ucc.ie en
dc.internal.availability Full text available en
dc.date.updated 2013-05-29T11:08:03Z
dc.description.version Accepted Version en
dc.internal.rssid 26808350
dc.description.status Peer reviewed en
dc.identifier.journaltitle Irish Accounting Review en
dc.internal.copyrightchecked Yes I have the editor's permission provided I upload the journal version. !!CORA!! Author arranged permission. en
dc.internal.licenseacceptance Yes en
dc.internal.IRISemailaddress niall.osullivan@ucc.ie en


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