Siganos, A. (2010) Can small investors exploit the momentum effect? Financial Markets and Portfolio Management, 24(2), pp. 171-192. (doi: 10.1007/s11408-009-0120-3)
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Abstract
This study uses UK data and investigates whether small investors can exploit the continuation effect in share prices. Individual traders are not in a financial position to buy and sell short hundreds of firms, as suggested by existing academic research, and thus this study uses extreme performance companies to implement the strategy. We find that strong momentum gains appear when extreme winners and losers are employed. These returns remain strong even after considering the transaction costs of implementing such strategies, including commissions, stamp duty, selling-short costs, and bid-ask spread. Overall, we show that a relatively large number of small investors can enjoy momentum gains, providing some evidence against stock market efficiency.
Item Type: | Articles |
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Additional Information: | The original publication is available at www.springerlink.com |
Keywords: | Stock market efficiency, momentum effect, transaction cost |
Status: | Published |
Refereed: | Yes |
Glasgow Author(s) Enlighten ID: | Siganos, Professor Antonios |
Authors: | Siganos, A. |
Subjects: | H Social Sciences > HG Finance |
College/School: | College of Social Sciences > Adam Smith Business School > Accounting and Finance |
Journal Name: | Financial Markets and Portfolio Management |
Journal Abbr.: | FMPM |
Publisher: | Springer Boston |
ISSN: | 1555-4961 |
ISSN (Online): | 1555-497X |
Published Online: | 22 December 2009 |
Copyright Holders: | Copyright © 2010 Springer |
First Published: | First published in Financial Markets and Portfolio Management 24(2):171-192 |
Publisher Policy: | Reproduced in accordance with the copyright policy of the publisher |
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