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Does Momentum Matter ? Using Daily Returns to Create Trading Strategies for Internet Stocks. BA 453 - International Investments The Fuqua School of Business. Presented by: Juan Pablo de Miguel Matthias Hoffmann Bernardo Martinez Sergio Penchas Will Walker.

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does momentum matter using daily returns to create trading strategies for internet stocks

Does Momentum Matter ?Using Daily Returns to Create Trading Strategies for Internet Stocks

BA 453 - International Investments

The Fuqua School of Business

Presented by: Juan Pablo de Miguel

Matthias Hoffmann

Bernardo Martinez

Sergio Penchas

Will Walker

introduction
Introduction
  • Sample: 9/17/97 - 12/31/00
  • 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
Assumptions
  • Commission Fee: $6 / trade
  • Bid / Ask Spread: 0.30%
  • Portfolio Size: $50 million
  • Turnover buy/hold equal-weighted portfolio: 10%
portfolios
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)
ad