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MOMENTUM ANOMALY IN EMERGING STOCK MARKETS: SOME EMPIRICAL EVIDENCE FROM THE COLOMBO STOCK EXCHANGE

MOMENTUM ANOMALY IN EMERGING STOCK MARKETS: SOME EMPIRICAL EVIDENCE FROM THE COLOMBO STOCK EXCHANGE This paper provides empirical evidence for the existence of a momentum anomaly on the Colombo Stock Exchange (CSE) during the period January 1992 to December 2007. The results indicate that the momentum effect on the CSE is positive and significant on average for all the four strategies applied. The subsample analysis further confirms the findings of the total sample. Further, the riskadjusted returns show that winners outperform the losers by a significant margin. JEL classification: N25, D51, F31 Keywords: momentum anomaly, Colombo Stock Exchange, momentum strategies, Contrarian Strategies, Stock Return http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Economics, Management, and Financial Markets Addleton Academic Publishers

MOMENTUM ANOMALY IN EMERGING STOCK MARKETS: SOME EMPIRICAL EVIDENCE FROM THE COLOMBO STOCK EXCHANGE

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Publisher
Addleton Academic Publishers
Copyright
© 2009 Addleton Academic Publishers
ISSN
1842-3191
eISSN
1938-212X
Publisher site
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Abstract

This paper provides empirical evidence for the existence of a momentum anomaly on the Colombo Stock Exchange (CSE) during the period January 1992 to December 2007. The results indicate that the momentum effect on the CSE is positive and significant on average for all the four strategies applied. The subsample analysis further confirms the findings of the total sample. Further, the riskadjusted returns show that winners outperform the losers by a significant margin. JEL classification: N25, D51, F31 Keywords: momentum anomaly, Colombo Stock Exchange, momentum strategies, Contrarian Strategies, Stock Return

Journal

Economics, Management, and Financial Markets – Addleton Academic Publishers

Published: Jan 1, 2012

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