Preliminary communication
INVESTMENT STRATEGIES TAILORED TO DAILY SEASONALITY IN STOCK RETURNS
Tihana Škrinjarić
orcid.org/0000-0002-9310-6853
; Katedra za matematiku Ekonomskog fakulteta Sveučilišta u Zagrebu
Abstract
Capital markets provide varieties of investment strategies that their participants try to implement in order to beat the market. Over the past couple of decades authors have been discovering calendar anomalies in stock returns. A brief overview of previous research is given in this paper, together with a focus on trading strategies which implement aforementioned anomalies. This paper constructs (simulates) also an active trading strategy on Zagreb Stock Exchange based on the day of the week effect in stock returns. This strategy has been compared to passive strategies. Results of the comparison show that although the active strategy has derived excess returns, they have been extinguished by the transaction costs.
Keywords
trading strategies; calendar effects; Zagreb Stock Exchange; “buy and hold” strategy; day-of-the-week effect
Hrčak ID:
104530
URI
Publication date:
28.6.2013.
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