A1 Journal article – refereed

Do Momentum and Reversal Matter in the Singapore Stock Market?




List of Authors: Syed Riaz Mahmood Ali

Publisher: Taylor & Francsis

Publication year: 2020

Journal: Asia-Pacific Journal of Accounting and Economics

DOI: http://dx.doi.org/https://doi.org/10.1080/16081625.2020.1754255

URL: https://www.tandfonline.com/doi/abs/10.1080/16081625.2020.1754255


Abstract

This paper shows the presence of positive momentum return in the short run but no
subsequent price reversal in the Singapore Market. Rather price momentum continues in the long
run. It also demonstrates that momentum profit is higher for the small and highly volatile firms
rather than the large stable firms. Both portfolio level and firm-level cross-sectional analyses are
used to show the relationships.


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Last updated on 2021-24-06 at 09:40