The profitability of momentum strategies using stock futures contracts in small markets

Pilar Corredor, Luis Muga and Rafael Santamaria

Applied Financial Economics Letters, 2006, vol. 2, issue 3, pages 173-177

Abstract: This paper investigates the profitability of non-traditional momentum strategies using stock futures contracts. The results lead to the conclusion that these strategies dominate those implemented using stocks. Despite this, however, no positive returns are found during the sample period after adjusting for risk and transaction costs.

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