The Effect of the Presidential Election on the Momentum Strategy in the Emerging Markets.
碩士 === 國立中正大學 === 財務金融研究所 === 101 === This paper, using stock markets data from 10 emerging markets between January 1999 and July 2012, examines the momentum strategies documented by Jegadeesh and Titman (1993) and Novy-Marx (2012). The results indicate that there are momentum returns in the emergin...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/yxuhnn |
| Summary: | 碩士 === 國立中正大學 === 財務金融研究所 === 101 === This paper, using stock markets data from 10 emerging markets between January 1999 and July 2012, examines the momentum strategies documented by Jegadeesh and Titman (1993) and Novy-Marx (2012). The results indicate that there are momentum returns in the emerging markets. Furthermore, this study divides the momentum returns of the periods of the presidential elections from the other periods. To discuss the effect of the presidential elections, I found that there are still momentum returns in the emerging markets during the periods of the presidential elections. However, the momentum returns in either the periods of the presidential elections or the other cannot beat the market index returns.
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