Price momentum in the New Zealand stock market: a proper accounting for transactions costs and risk

被引:5
作者
Trethewey, Sam [1 ]
Crack, Timothy Falcon [2 ]
机构
[1] PricewaterhouseCoopers, Auckland, New Zealand
[2] Univ Otago, Dept Finance & Quantitat Anal, Dunedin, New Zealand
关键词
Price momentum; New Zealand; Price impact; Market efficiency; Equity trading; G11; G14; STRATEGIES; PROFITABILITY; EXPLANATIONS; LIQUIDITY; ANOMALIES; RETURNS; WINNERS; PROFITS; LOSERS;
D O I
10.1111/j.1467-629X.2010.00355.x
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We test for recently reported momentum profits in New Zealand using a practitioner technique that we have not yet seen in the academic literature. This technique simultaneously weighs returns, risk and transactions costs at each portfolio rebalance, rather than blindly chasing returns and then accounting for risk and transactions costs after the fact. We reverse the findings of the earlier literature because our gross profits are more than fully consumed once transactions costs are properly accounted for. Although we focus on momentum trading in New Zealand, our practitioner technique is broadly applicable to investigations of trading anomalies.
引用
收藏
页码:941 / 965
页数:25
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