The profitability of momentum strategy in tech stocks.
Tan, Hiap Sing.
Date of Issue2002
College of Business (Nanyang Business School)
The basic idea of momentum strategy is to purchase stocks that performed will in the past and sell stocks that performed poorly. In this report, we select a set of stock data in US market and compare the excessive return generated by tech portfolio and non-tech portfolio based on momentum strategy. A total of 16 momentum strategies are considered in this report.
Nanyang Technological University