COMPANIES WITH BEST AND POOREST PERFORMANCE ON THE BSE AD IN THE PERIOD 2004 – 2007 AS OF MOMENTUM EFFECT

  • Bozhidar Nedev
Keywords: Bulgarian Stock Exchange; momentum effect; short-term return predictability; formation periods;

Abstract

Momentum effect turns out to be one of the most persisting behavioural anomalies on international capital markets for almost 30 years now. Those public companies which has performed best over the previous up to 12 months tend to realize high returns over the subsequent short-term period and vice versa for issues with poorest past returns. Based on previous research presence of momentum effect on the Bulgarian capital market has been documented to exist between 2004 and 2007 (the pre-crisis period before the burst of the Global recession). Thus, this paper aims at investing the question which public companies on the Bulgarian Stock Exchange AD has been most frequently part of the portfolio of winners` stocks and part of the portfolio of losers` stocks. The analysis is performed based upon eight different portfolio formation periods employed (K = 1, 2, 4, 8, 13, 26, 39 and 52 weeks). Our empirical results indicate that over the pre-crisis period on the Bulgarian Stock Exchange AD the historical performance based on the previous 26 weeks (6 months) turns out to best distinguish between winner and loser companies as there is no single concurrence of a company that could have been both part of winners` and losers` portfolio.

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Published
2019-12-15
How to Cite
Nedev, B. (2019). COMPANIES WITH BEST AND POOREST PERFORMANCE ON THE BSE AD IN THE PERIOD 2004 – 2007 AS OF MOMENTUM EFFECT. Vanguard Scientific Instruments in Management, 15. Retrieved from https://vsim-journal.info/index.php?journal=vsim&page=article&op=view&path[]=239