Skip to main content

Research Repository

Advanced Search

All Outputs (2)

Momentum profits in alternative stock market structures (2007)
Journal Article
Chelley-Steeley, A., & Siganos, A. (2008). Momentum profits in alternative stock market structures. Journal of Multinational Financial Management, 18(2), 131-144. https://doi.org/10.1016/j.mulfin.2007.05.002

The aim of this study is to examine the relationship between momentum profitability and the stock market trading mechanism and is motivated by recent changes to the trading systems that have taken place on the London Stock Exchange. Since 1975 the Lo... Read More about Momentum profits in alternative stock market structures.

Momentum returns and size of winner and loser portfolios (2007)
Journal Article
Siganos, A. (2007). Momentum returns and size of winner and loser portfolios. Applied Financial Economics, 17(9), 701-708. https://doi.org/10.1080/09603100600722193

Previous studies in the field of the momentum effect have defined winner and loser portfolios only by using deciles, quintiles or triciles. This article overcomes this limitation by investigating the magnitude of momentum gains for various sizes of w... Read More about Momentum returns and size of winner and loser portfolios.