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Sources of Momentum Profits in Emerging Stock Markets: The Case of Dhaka Stock Exchange
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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.
Keywords
Momentum Strategy, Overreaction, Underreaction, Firm–Specific Information
G11, G12, G14
Paper Submission Date : April 20, 2013 ; Paper sent back for Revision : May 30, 2013 ; Paper Acceptance Date : June 16 , 2013.
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