Momentum Returns and Transaction Costs in the U.K. Stock Market

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Momentum Returns and Transaction Costs in the U.K. Stock Market

This paper evaluates the existence of momentum profits based on the U.K. stock market, by taking into account the transaction costs. It concludes that momentum strategy is profitable in normal cases and transaction costs can only partly explain the momentum return. The research is conducted by formi...

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Bibliographic Details
Main Author:	Wang, Xiaopeng
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2010
Online Access:	https://eprints.nottingham.ac.uk/24094/

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