Assessing momentum investment strategies in the U.A.E. Stock Market

摘要: The thesis extends the research in area of momentum strategies by investigating short-term continuation for stocks listed United Arab Emirates (U.A.E.) Stock Market over period from January 2001 to June 2006. evidence shows that winner portfolios tend outperform loser pre- and post-formation periods three months twelve months. most successful zero-cost trading strategy selects based on their returns previous six then holds portfolio eight This yields abnormal 1.10 percent per month, which is very close profits reported Jegadeesh Titman (1993) US market. The continues looking at possible explanations whether they can be explained firm size effect or book-to-market effect. empirical results provide small-stocks exhibit a greater return than big-stocks various holding periods, but difference between high B/M-stocks low not as effective producing returns. In order achieve deeper understanding linkages these variables profits, I propose multiple model risk valuation both CAPM Fama French (1992, 1993) models, introducing new assumes sensitivity stock four-factors; market beta, book-to-market, addition oil price factor. The suggests relationship factors insignificant, means are unable explain performance returns, while it positively correlated with factor changes factor. These findings motivate taking closer look causes behind returns. A survey questionnaire carried out acquire more knowledge effect, identify further reveal investors’ decision-making appears influenced number other fundamental factors, such recent movements stock, rumors friends/family opinions. lead additional insights into the causes phenomenon.