Returnbased investment strategies on the Russian stock market

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Returnbased investment strategies on the Russian stock market

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dc.contributor.author Ioffe, Vladimir
dc.date.accessioned 2011-01-12
dc.date.accessioned 2011-01-14T09:19:49Z
dc.date.available 2011-01-14T09:19:49Z
dc.date.issued 2011-01-14
dc.identifier.uri http://hdl.handle.net/10417/1559
dc.description.abstract Market efficiency theory is one of the cornerstones of modern finance. It has now been disputed for several decades whether market efficiency holds on different types of markets. One of the most common interpretations of market efficiency theory is that trading strategies based on historical returns could not earn higher than normally expected return on the market. However, some of the recent research suggests that profitable trading strategies with abnormal returns do exist on international stock markets. The purpose of this paper is to examine the profitability of return‐based investment strategies in the Russian stock market. 16 such strategies are examined for the period from January 1996 to December 2009. The methodology used for the testing is widely accepted in academic literature. The paper shows that as opposing to international evidence, market efficiency holds rather well on the Russian stock market. In essence, no persistently profitable strategies are found. Controlling for economic crises effects and bid ask bounce doesn’t change this conclusion. en_US
dc.format.extent 95 s. en_US
dc.language eng en_US
dc.subject.other Kandidatafhandlinger en_US
dc.title Returnbased investment strategies on the Russian stock market en_US
dc.type mop en_US
dc.accessionstatus modt11jan12 jobrmo en_US
dc.contributor.corporation Copenhagen Business School. CBS en_US
dc.contributor.corporationshort Department of Economics. ECON en_US
dc.contributor.corporationshort Økonomisk Institut. ECON en_US
dc.contributor.department MSc in Economics & Business Administration en_US
dc.contributor.departmentshort 22 en_US
dc.description.notes Cand.merc.aef. Applied Economics and Finance en_US
dc.idnumber x656624123 en_US
dc.publisher.year 2010 en_US
dc.publisher.city Frederiksberg en_US
dc.title.subtitle The empirical study en_US

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