Abstract
It is claimed that momentum trading strategies generate positive returns. This paper investigates the profitability of momentum investment strategies and their determinants for stocks listed on the Pakistan Stock Exchange using data from the period 2001 to 2015. The results reveal that momentum returns for Pakistani stocks are as high as the returns reported for developed markets. Moreover, the returns earned over the sub-period 2001 to 2007 are mostly positive, whereas those earned over the sub-period 2009 to 2015 are mostly negative. Momentum returns in Pakistan, however, are not caused by temporary over or under reaction of investors in the market, neither can they be explained by the beta or size factor.
Keywords
Momentum, Trading strategies, Pakistan Stock Exchange, Systematic risk factors
DOI
https://doi.org/10.54784/1990-6587.1035
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.
Recommended Citation
Tauseef, S., & Nishat, M. (2018). Can investors benefit from momentum trading? Evidence from an emerging market. Business Review, 13(1), 21-36. Retrieved from https://doi.org/10.54784/1990-6587.1035
