Sources and practicality of momentum profits : evidence from the UK market

TL;DRAbstract

It is hard to believe that rewarding opportunities in a liberalised market are left unexploited by acquisitive market participants or even by proficient institutional investors. Notwithstanding this, the sources of momentum profits have been puzzling academics for many years. Therefore, the incentives for these rewarding opportunities remain an unresolved mystery long after the momentum phenomenon has been identified. The significance of the momentum phenomenon is reflected in the voluminous studies that investigate it. This thesis aims to investigate a number of issues surrounding the debate on the momentum phenomenon in order to provide a broader understanding of the profitability of momentum strategies and its sources by using alternative as well as some new methods. Furthermore, this study investigates momentum strategies in the UK market by controlling for several market microstructure effects and finds that momentum profits tend to disappear after the six months holding period, f

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