Κλαδική ταξινόμηση (industry classification), momentum και short-term reversal στην Ευρώπη
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Keywords
Ευρωπαϊκές αγορές ; Απόδοση ; Ορμή ; Αναστροφή στο μέσο ; Βραχυπρόθεσμη αναστροφή ; Συστήματα κλαδικής ταξινόμησης ; Επίπεδα ταξινόμησης ; Περίοδος κράτησης ; Περίοδος αναδρομής ; Στρατηγική μηδενικής επένδυσηςAbstract
The purpose of this study is to examine the presence of momentum in European markets using portfolios created in the form of various industry classification standards. After a brief introduction to the existing literature and how the empirical study is conducted, we examine the various strategies performed for each level of the selected industry classification standards. Finally, using Cahart's four-factor model, we examine the momentum and short-term reversal effects after considering the common risk factors of the model. In conclusion, the study finds that the impact of momentum exists in European markets and at the industry level it prevails particularly at less detailed levels of classification. The results are in line with the findings of Scott Li's (2022), Finance Research Letters, 48(C) study done for the US markets, particularly for the period he refers to as the Industry Consolidation period 1998 to 2018.