Momentum profitability in Malaysia

• 主要な著者: Tan, Yeng May, Cheng, Fan Fah, Hassan, Taufiq
• フォーマット: 論文
• 言語: English
• 出版事項: Universiti Putra Malaysia Press 2014
• オンライン･アクセス: http://psasir.upm.edu.my/id/eprint/34590/1/Momentum%20Profitability%20in%20Malaysia.pdf; http://psasir.upm.edu.my/id/eprint/34590/; http://www.pertanika.upm.edu.my/Pertanika%20PAPERS/JSSH%20Vol.%2022%20(S)%20Dec.%202014/01%20JSSH%20Vol%2022%20(S)%20Dec%202014_pg1-16%20(JSSH-1202-2014).pdf

This paper reports evidence of short-term momentum profits in a study of 700 stocks traded in the emerging Malaysian stock market. For this purpose, momentum portfolios were formed over a full sample period and other sub-periods that included the Asian Financial Crisis, Global Financial Crisis and t...