Momentum in Irish stocks : Evidence from the credit crisis

O'Keeffe, Cormac and Gallagher, Liam A. (2014) Momentum in Irish stocks : Evidence from the credit crisis. Applied Economics Letters, 21 (11). pp. 717-722. ISSN 1350-4851

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This article examines return momentum in Irish shares over a 24-year period, including the recent credit crisis. The optimal momentum strategy generates significant risk-adjusted abnormal returns that are robust to the return generating model and seasonal effects. The extent of underreaction is more symmetrical than previous research has indicated, with both past winners and losers contributing to momentum returns. Momentum is found to be significantly higher in the pre-credit crisis period. The source of the positive returns in the momentum strategy changes from the winner portfolio to the loser portfolio as we move into the credit crisis, with this latter period showing positive but insignificant moment returns.

Item Type: Article
Uncontrolled Keywords: /dk/atira/pure/subjectarea/asjc/2000/2002
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Depositing User: Admin SSL
Date Deposited: 19 Oct 2022 23:02
Last Modified: 07 Jun 2023 18:42

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