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Momentum Anomaly in Emerging Stock Markets: Some Empirical Evidence from the Colombo Stock Exchange

Pathirawasam, Chandrapala, Weerakoon Banda, Yatiwella Koralalage and Wickremasinghe, Guneratne B (2011) Momentum Anomaly in Emerging Stock Markets: Some Empirical Evidence from the Colombo Stock Exchange. Economics, Management, and Financial Markets , 6 (4). pp. 92-104. ISSN 1842-3191

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Abstract

This paper provides empirical evidence for the existence of a momentum anomaly on the Colombo Stock Exchange (CSE) during the period January 1992 to December 2007. The results indicate that the momentum effect on the CSE is positive and significant on average for all the four strategies applied. The sub-sample analysis further confirms the findings of the total sample. Further, the risk-adjusted returns show that winners outperform the losers by a significant margin

Item Type: Article
Uncontrolled Keywords: ResPubID24162, momentum anomaly, Colombo Stock Exchange, momentum strategies, Contrarian Strategies, Stock Return
Subjects: Faculty/School/Research Centre/Department > School of Economics and Finance
FOR Classification > 1502 Banking, Finance and Investment
SEO Classification > 9001 Financial Services
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Depositing User: VUIR
Date Deposited: 03 Sep 2012 03:44
Last Modified: 03 Sep 2012 03:44
URI: http://vuir.vu.edu.au/id/eprint/9344
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