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Title: | Sources of Momentum Profits in Emerging Stock Markets- the Case of Dhaka Stock Exchange |
Authors: | Mohammad Akter Hossan Sang-Bum Park |
Issue Date: | 2013 |
Publisher: | Indian Journal of Finance |
Abstract: | This study focuses on sources of momentum strategies for the Dhaka Stock Exchange of Bangladesh. For these purposes, this study applies models based on serial correlation and lead - lag effect suggested by Jegadeesh and Titman (1993) and (1995) respectively. Results of these models find that investors' overreaction to firm- specific information is the source of momentum profits in the Dhaka Stock Exchange. Furthermore, lead- lag pattern in stock returns does not contribute to the expected momentum profits in Dhaka Stock Exchange. However, this study finds a large difference between expected and actual momentum profits for the Dhaka Stock Exchange. |
URI: | http://gnanaganga.inflibnet.ac.in:8080/jspui/handle/123456789/8344 |
Appears in Collections: | Articles to be qced |
Files in This Item:
File | Size | Format | |
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Sources of Momentum Profits in Emerging Stock Markets.pdf Restricted Access | 6.63 MB | Adobe PDF | View/Open Request a copy |
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