Does Momentum Matter ? Using Daily Returns to Create Trading Strategies for Internet Stocks BA 453 - International Investments The Fuqua School of Business.

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Presentation transcript:

Does Momentum Matter ? Using Daily Returns to Create Trading Strategies for Internet Stocks BA International Investments The Fuqua School of Business Presented by: Juan Pablo de Miguel Matthias Hoffmann Bernardo Martinez Sergio Penchas Will Walker

Introduction Sample: 9/17/ /31/00 Data: daily returns of up to 143 internet stocks Portfolio Selection based on last day’s top 10 performers and bottom 10 performers Transaction costs: nominal fee and bid-ask spread

Assumptions Commission Fee: $6 / trade Bid / Ask Spread: 0.30% Portfolio Size: $50 million Turnover buy/hold equal-weighted portfolio: 10%

Number of Stocks in the Sample

Portfolios Buy Top Performers Buy Bottom Performers Sell Top Performers Sell Bottom Performers Momentum (Buy Top / Sell Bottom) Contrarian (Sell Top / Buy Bottom) Benchmark (Equal-Weighted Buy / Hold)

Results

Portfolio Turnovers

Best Strategy: Buy Bottom 10

Summary Results

Q&A ???

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