[PDF] Top 20 Momentum and contrarian strategies in the Portuguese stock market

... on momentum strategy because it also follows the winners, but instead of investing every single period in a certain number of stocks that performed better in the past p months (even ... See full document

... fuelled the market’s euphoria in the late years of this period. The Portuguese stock market went up more than 100% in each of the three years of the ... See full document

... uncover the non-linearity that exists in the financial ...of the deterministic/stochastic characteristics of the Portuguese stock exchange index and some typical ... See full document

... Expectations and Trading Strategies Agent-based models allow us to use a range of methods when determining the expectations and trading strategies used by different groups of ... See full document

... data, the relation between asset growth and stock return in 43 countries, from 1982 to 2010, using total asset variation as an asset growth ...proxy. The final sample comprised 291,725 ... See full document

... apply the model developed by Gokhale et al. (2015) to identify the existence of overreaction and behavioral biases in the Brazilian stock market and analyze its ... See full document

... model the qualitative aspects of human knowledge and reasoning processes without employing precise quantitative ...analyses. The use of artificial neural network and fuzzy Logic is expected to ... See full document

... of the relationship between the Portuguese stock market and a set of macroeconomic and financial factors that were chosen according to the relevant literature ... See full document

... Elton and Gruber ...of the specific risk (measured by the ...of the assets to compose portfolios and the only premise is the fact that the pro- portion invested ... See full document

... reports the results of tests on the weak-form market efficiency applied to the PSI-20 index prices of the Lisbon Stock Market from January 1993 to December ...emerging ... See full document

... test the robustness of the strategy of Portfolio 4, we performed 5000 simulations of 52 weeks chosen randomly of investment on the stock market following the six ...peers ... See full document

... shock in stock prices will generate more volatil- ity than a positive shock of similar ...magnitude. The aim of this paper is to appraise the hypothesis under which the conditional mean ... See full document

... Regarding momentum strategies Kelsey, Kozhan and Pang (2011) state that there is already a substantial body of literature that confirms the existence of value adding momentum ... See full document

... o the g aphs’ a al sis, this p o le is simpler to be solved when we are dealing with the ...compute the SR for different horizons (which is much simpler than plotting all those graphs for each ... See full document

... essence, the analysis of a stock market’s efficiency can enhance the ability to predict future security price movement and then use such predictions to design equity ...of the efficient ... See full document

... of the inputs for the portfolio selection process, although analysts might modify these historical estimates to better reflect beliefs about the ...On the other hand, different risky assets ... See full document

... Street in the ...behavior and when that path is disturbed, take a long/short position in the hope that in the future, history repeats ...Thus, the primary aim of ... See full document

... sheets. The strong form of informational efficiency implies that all pieces of public or privileged information are reflected in stock exchange ...on the market are instantaneously ... See full document

... on the Stock Exchange: a study of stocks with the highest financial volume between 2007 and ...Program in Information Science - Institute of Information Science - Universidade Federal ... See full document

... A. and Christopher, W. (2011), Quantifying the Shadow Economy: Measurement with Theory, Working Paper Series, Federal Reserve Bank of ...(1977), The Subterranean Economy, Financial Analysts Journal ... See full document