MOMENTUM ANOMALY IN EMERGING STOCK MARKETS: SOME EMPIRICAL EVIDENCE FROM THE COLOMBO STOCK EXCHANGE
MOMENTUM ANOMALY IN EMERGING STOCK MARKETS: SOME EMPIRICAL EVIDENCE FROM THE COLOMBO STOCK EXCHANGE

Summary/Abstract: This paper provides empirical evidence for the existence of a momentum anomaly on the Colombo Stock Exchange (CSE) during the period January 1992 to December 2007. The results indicate that the momentum effect on the CSE is positive and significant on average for all the four strategies applied. The subsample analysis further confirms the findings of the total sample. Further, the riskadjusted returns show that winners outperform the losers by a significant margin.

• Details
• Contents