文章基本信息

标题：Contrarian and Momentum Profits during Periods of High Trading Volume preceded by Stock Prices Shocks
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作者：Razvan Stefanescu ; Ramona Dumitriu
期刊名称：Risk in Contemporary Economy
电子版ISSN：2067-0532
出版年度：2016
语种：English
出版社：Dunarea de Jos University of Galati
摘要：This paper approaches the opportunities for contrarian and momentum profits during the periods of high trading volume preceded by stock prices shocks. We investigate these aspects for ten stocks from New York Stock Exchange. We found that more than three quarters of the periods of high trading volume were preceded by shocks which occurred less than six working days before. The values of the average excess returns for these periods suggest that opportunities for momentum profits prevailed over those for contrarian profits.
关键词：Contrarian Strategy;Momentum Strategy;High Trading Volume;Shocks