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Managerial Economics
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Managerial Economics
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https://dx.doi.org/10.7494/man...
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Momentum and calendar effects

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2012 English Publisher:AGHU University of Science and Technology PressJournal:Managerial Economics (issn: 1898-1143, Copyright policy )
Authors: Tomasz Wojtowicz;

doi: 10.7494/manage.2012.11.115 , 10.7494/manage.2012.11.1.115

Momentum and calendar effects

Abstract

This paper examines the relationship between results of the analysis of the price momentum effect and data mining. Especially, the issue of the day of portfolio formation is considered. The analysis was carried on the basis of daily returns of stocks quoted on Warsaw Stock Exchange in 2003-2010. The evidence indicates that profitability of the momentum strategies can be attributed to the choice of portfolio formation day. It also suggests the connection between mo- mentum and calendar effects.

Keywords

Economics as a science, market efficiency, price momentum, HB71-74

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This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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