Naslov
The analysis of predictability of share price changes using the Momentum model

Autori
Stanivuk, Tatjana ; Škarica, Alan ; Tokić, Tonći

Izvornik
Croatian operational research review (1848-0225) 3 (2012); 256-267

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
price momentum; shares; proof of anomaly; stock market

Sažetak
Within the context of behavioural finance, there is increasing evidence on predicting the stock returns based on several variables specific for each company. One of these anomalies also identified as the one which is most difficult to explain within the context of traditional price paradigms, is the effect of price momentum. It is demonstrated that the shares that have generated the highest (or lowest) returns in the period from 3 to 12 months have the tendency of increase (or decrease) in the following 3 to 12 months. The findings are contrary to the Efficient Market Hypothesis (EMH). The investment industry professionals are aware of the momentum effect, and it seems that the stock evaluation is performed based on the price momentum. This paper presents empirical evidence on existence of price momentum in the stock market. The anomalies continue to persist.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Ekonomija

POVEZANOST RADA