Price momentum and trading volume: evidence from the Western- European stock market

This study aims to incorporate trading volume information, measured by share turnover, into price momentum strategies. Using the monthly constituents of the STOXX Europe Total Market Index, I find that low-volume portfolios obtain higher momentum returns than simple momentum portfolios, but trading...

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Detalhes bibliográficos
Autor principal: Lopes, David Miguel Silvério (author)
Formato: masterThesis
Idioma:eng
Publicado em: 2018
Assuntos:
Europe
Equities
Price momentum
Trading volume
Behavioral finance
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
Texto completo:http://hdl.handle.net/10362/49540
País:Portugal
Oai:oai:run.unl.pt:10362/49540

Texto Completo

http://hdl.handle.net/10362/49540

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