Izvorni znanstveni članak
THE ANALYSIS OF PREDICTABILITY OF SHARE PRICE CHANGES USING THE MOMENTUM MODEL
Tatjana Stanivuk
orcid.org/0000-0001-7407-8239
; Faculty of Maritime Studies, University of Split, Split, Croatia
Alan Škarica
; NFD Aureus Invest d.d., Zagreb, Croatia
Tonći Tokić
; Credere d.o.o. – Tank Core Solutions, Split, Croatia
Sažetak
Within the context of behavioral finance, there is increasing evidence on predicting the stock returns based on several variables specific for each company. One of these anomalies also identified as the
one which is most difficult to explain within the context of traditional price paradigms, is the effect of price momentum.
It is demonstrated that the shares that have generated the highest (or lowest) returns in the period from 3 to 12 months have the tendency of increase (or decrease) in the following 3 to 12 months. The findings are contrary to the Efficient Market Hypothesis (EMH). The investment industry professionals are aware of the momentum effect, and it seems that the stock evaluation is performed based on the price momentum.
This paper presents empirical evidence on existence of price momentum in the stock market. The anomalies continue to persist.
Ključne riječi
price momentum; shares; proof of anomaly; stock market
Hrčak ID:
96826
URI
Datum izdavanja:
30.12.2012.
Posjeta: 2.043 *