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摘要：The study of both momentum and contrarian investment strategies is a very interesting and challenging discipline in finance, not only because the effectiveness of such strategies suggest a rejection of the EMH, but because research into the sources of these profits lies at the centre of comprehending the behaviour of market participants and how markets price securities.

, they do not completely clarify the existence of the momentum premium, hence further analysis on the economic significance of the momentum strategy is necessary.

5. Data

For the purposes of this paper, we would like to examine whether there is evidence of abnormal returns in the Greek stock market (Athens Stock Exchange--ASE from now on) and especially in the FTSE 20 index of large capitalization stocks, over a period of 21 years from January 1987 to January 2008 following either a momentum strategy or a contrarian strategy. The motivation of this project is the fact that momentum profitability in emerging stock markets such as the ASE has not been examined to a great extent.

A few years before, Greek stock market was a relatively small and under-examined emerging market. However, innovation and other major reforms that have taken place in the last 20 years caused the market to gain more power. In the last decade an increasing number of new companies were admitted in the ASE in order to raise capital, and a growing number of investors entered the market by investing in corporate stocks. These developments enhanced the local and international investment interest for the ASE, which is now expected to gain the characterization of a more developed market.

The database we will use in this paper consists of the daily spot stock prices of all the stocks that form the FTSE 20 index, which can be sourced from either DataStream or Bloomberg. FTSE 20 index is a large capitalization index which includes the 20 largest companies (blue chips) listed in ASE. We have chosen this period because it covers some interesting periods of stock market behavior and the Greek economy as a whole as indicated by 1) four national elections, 2) the entry of Greece to the “Euro-Zone” (2001) 3) the characterization of the Greek stock market as a developed market since 2001, 4)the “Black Monday” crash in 1987 -- a world-wide phenomenon where all major world markets decreased substantially 5) the crash of the Athens Stock Exchange in 1999 and 6) The ‘free-fall’ of the Greek Stock Market Index from 6500 points (September 1999) to 1800 points (September 2002). All these events make the study of the existence of momentum extra-returns in the ASE to be a rather challenging task and we expect to discover some rather interesting results.

6. methodology

This paper aims to extent previous studies for the ASE by employing the same methodology that was used in one of the most significant studies about momentum strategy by Jegadeesh and Titman (1993, 2001, and 2002). In their study, they tested whether momentum strategy yields abnormal return using the sample of all the stocks traded on the New York Stock Exchange and American Stock Exchange for the testing period from 1965 to 1989. Koutmos et al (1993), Antoniou et al (2005), Spyrou and Mandalis (2003), in their studies have provided evidence of return predictability in ASE using the methodology employed by DeBondt and Thaler (1985).

From the dataset described in section 5, we will compute the returns of each stock that comprise the FTSE 20 index using the formula below:

where is the stock return for period t, is the spot stock price at period t and is the spot stock price at period t-1.

We select the stocks based on their performance over the 本论文由英语论文网提供整理，提供论文代写，英语论文代写，代写论文，代写英语论文，代写留学生论文，代写英文论文，留学生论文代写相关核心关键词搜索。