1887

n Studies in Economics and Econometrics - Profitability of short term reversal strategies on the Johannesburg Stock Exchange

Volume 39, Issue 3
  • ISSN : 0379-6205

Abstract

Short term reversal strategies involve the frequent buying (or selling) of loser (or winner) stocks in order to profit in the short run if prices revert. Several studies report profitability of these strategies while others reject profitability due to trading costs. This study reports profitability of a short term reversal rule when trading in large capitalization Johannesburg Stock Exchange listed stocks, while allowing for trading costs and taking trade execution skills into account. Evaluation of the performance of the rule is done in terms of newly introduced reward and risk measures based on daily cash flows and market exposures respectively.

Loading full text...

Full text loading...

Loading

Article metrics loading...

/content/bersee/39/3/EJC181350
2015-12-01
2019-10-21

This is a required field
Please enter a valid email address
Approval was a Success
Invalid data
An Error Occurred
Approval was partially successful, following selected items could not be processed due to error