Show simple item record

dc.contributor.authorBenouda Sioud, Olfa
dc.contributor.authorBen Mhenni Haj Youssef, Houda
dc.contributor.authorEl Moubarki, Lassad
dc.date.accessioned2010-02-08T14:18:43Z
dc.date.available2010-02-08T14:18:43Z
dc.date.issued2009
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/3323
dc.language.isoenen
dc.subjectBootstrapen
dc.subjectcross-sectional variance of expected returnen
dc.subjectmomentumen
dc.subjectcorporate diversificationen
dc.subjectrisken
dc.subject.ddc658.4en
dc.subject.classificationjelL1en
dc.titleCan diversification degree amplify momentum and contrarian anomalies ?en
dc.typeCommunication / Conférence
dc.contributor.editoruniversityotherThe Institute of High Commercial Studies;Tunisie
dc.description.abstractenThis paper analyses the impact of industrial diversification on the profitability of contrarian and momentum strategies. Our findings show that the momentum strategy seems to be no more profitable in the recent years. In fact, while momentum strategies earn large positive and significant returns before the 2000 crash, these returns are negative after the crash. Then, firms are classified into two groups according to the intensity of their industrial diversification by the Ward (1963) method. We find that, for the non -diversified sample, no effect is significant. However, for the diversified sample, the significant contrarian effect observed in the medium term disappears in the long run. Before the crash, we find a more pronounced momentum effect for the non -diversified sample. After the crash, we identify a contrarian effect more important for this sample. Moreover, the Bootstrap without replacement results do not support the risk based explanation.en
dc.identifier.citationpages25en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelDirection d'entrepriseen
dc.relation.conftitle26ème journée internationales d'économie monétaire et financière -Groupement de Recherche Européen (GDRE) « MONNAIE, BANQUE, FINANCE »en
dc.relation.confdate2009-06
dc.relation.confcityOrléansen
dc.relation.confcountryFranceen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record