Master's Culminating Experience
In replicating the study by Akhbari and Gressis (2002) in mutual funds, this paper compares the profitability of traditional momentum strategy with the directional momentum strategies in stock markets. Not only the past quarterly return but also the patterns of monthly returns within a quarter are considered. The evidence shows that the raw return findings are similar to the findings in mutual fund study. However, the risk- adjusted returns are not consistent with the raw returns and statistically insignificant, very probably, due to the extremely small sample size.
(2004). Momentum Strategies versus Directional Momentum Strategies: A Comparative Study with Stocks. .