Indian Journal of Finance
By: Associated Management Consultants (P) Ltd.Single Issue
Single Issue
- IJF-Jan09-Article1-Evaluating Momentum and Contrarian Strategies For Technology Stocks During Excessive Speculation
- Price : 80.00
- Published on January 2, 2009
- Associated Management Consultants (P) Ltd.
- Issues 356
- Language - English
- Published daily
About this issue
Momentum and contrarian returns have been documented by a large number of studies. In this paper we investigate the performance of technology stocks by using these two widely followed investment strategies during a speculative boom period. We discuss the effectiveness of various long and short trading strategies for a well balanced sample of technology stocks and find that by executing a simple buy bottom strategy, a technology investor could take advantage of the overreactions in order to generate higher returns during the period of excessive speculation. We also show that accounting for conditionally heteroskedasticity increases the evidence that risk adjusted returns are strongly related to market betas of a benchmark return and NASDAQ composite index returns.
About Indian Journal of Finance
Indian Journal of Finance, a source of sophisticated analysis of developments in the rapidly expanding world of finance, is a monthly journal with topics ranging from corporate to personal finance, insurance to financial economics and derivatives.