• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Elena Lebedeva
Determination of Factors Generate Abnormal Returns on Stock Market in the Modelling of Momentum-Strategy
2018
There are a lot of research works that have a learning effect. But how can investors understand that it is time to apply momentum strategy or reversal strategy? In this paper we propose to use the combined strategy, which adapts to change the portfolio depending on the market conditions and others factors. That strategy is unique due to it. Such switching is dependent on market conditions, and we find the optimal lag between the fluctuation on the market, some news release, investor's reactions and the investment period. It has been proven that the effect of the reversal effect at this time. So, the composite strategy of the year 2000 up to December, 2017 by sampling common stocks of the companies included in the major indexes of BRIC countries in comparison with indexes of USA, UK and Malaysia, is the analysis hereof. It's not difficult to notice that the momentum is the most effective after market uptrend. Our work presents a conducted analysis of the momentum-reversal effect of this anomaly gives a lot of opportunities for its further investigation.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses