期刊名称：AESTIMATIO : the IEB International Journal of Finance
印刷版ISSN：2173-0164
出版年度：2014
期号：8
页码：68-89
出版社：Instituto de Estudios Bursátiles
摘要：The main purpose of our study is to explore the existence of return continuation in the Portuguese Stock Market, thus investigating its efficiency at the weak form level. Using a monthly sample that goes from January 1988 to April 2012, the most extensive sample ever used for the analysis of momentum profitability in the Portuguese Stock Market, we construct 32 different strategies. We show that strategies which buy stocks that have performed well in the past and sell stocks that have poor performances previously ¨Cmomentum strategies¨C can generate significant positive returns over three to twelve months holding periods. Concerning the performance of momentum strategies in the long run, our results seem to support the underreaction hypothesis.
