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Issue Date: 2013
Citation: CHOONG YEW THONG (2013). MOMENTUM AND VALUE INVESTING. ScholarBank@NUS Repository.
Abstract: Recent studies suggest that a linear combination of momentum and value strategies can yield a higher Sharpe ratio than the individual strategies. In this study, I propose a new trading strategy that leverages on both the momentum and value effect. I test the net profitability of the proposed trading strategy and compare its performance against other trading strategies for both individual and institutional investors. I also examine the net profitability of the proposed trading strategy under different market states, funding liquidity states and investment horizons. My findings show that the proposed trading strategy is not profitable for individual investors after factoring in transaction costs but remains profitable for institutional investors over a 6-month holding period. I also find that profits occur exclusively for institutional investors in “Up” market and funding liquidity states. By extending the investment horizon to 12 months, I find that individual investors are able to enjoy profits from the proposed strategy after factoring in transaction costs. This prompts a future extension to my research in examining the proposed strategy over a longer investment horizon (> 6 months).
Appears in Collections:Bachelor's Theses

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