Year of Graduation
Determination of Factors Generate Abnormal Returns on Stock Market in the Modelling of Momentum-Strategy
Financial Markets and Financial Institutions
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.