Year of Graduation
Momentum Effect on the European Capital Market
Great interest among theorists and practitioners to the momentum effect, the strategy which generate stable positive returns, a small number of works on Europe, after 2005 there were no studies on the European stock market related to momentum, not fully investigated nature of the momentum effect, the duality definition of anomalies determined the topic of the research, its subject and object, formulated the goal. The object lies in the return on equity of of companies included in the major indices 13 European stock exchanges. The subject of the study is the portfolio momentum effect as anomaly, which performance abnormal profits as well as effective strategies momentum in the European market. With regard to the hypothesis, then verify the existence of the momentum effect in the European stock market of large companies shares. Earlier, the momentum effect has been found in similar markets, but the work will be discussed that phenomenon in the time interval from 2000 to 2016 is not effective in the European market. But it found the effect of the reversal, which allows to build a strategy similar to Momentum.