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Are intraday reversal and momentum trading strategies feasible? An analysis for German blue chip stocks

Tim A. Herberger (), Matthias Horn and Andreas Oehler
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Tim A. Herberger: Andrássy University
Matthias Horn: Bamberg University
Andreas Oehler: Bamberg University

Financial Markets and Portfolio Management, 2020, vol. 34, issue 2, No 3, 179-197

Abstract: Abstract The success of trading strategies that lead to abnormal excess returns based on annual/monthly investment periods has recently declined significantly. We adopt the original frameworks of De Bondt and Thaler (J Finance 40(3):793–808, 1985) and Jegadeesh and Titman (J Finance 48(1):65–91, 1993) to an intraday reversal as well as momentum strategy scheme based on 5-min stock returns. We analyze 16 reversal and momentum strategies each with ranking and holding periods of 60, 120, 180 or 300 min (reversal strategies) and 15, 30, 45 or 60 min (momentum strategies) from a retail investor’s perspective. We find no indications for momentum in stock prices but strong indications for reversals. Our results are furtherly robust regarding to market adjustment, portfolio sizes and skipping periods between ranking and holding periods. Our results show that the returns of the reversal strategies are statistically significant, however, yet too small to be economically significant. Our results also confirm the efficiency on the stock markets.

Keywords: Intraday trading; Price reversals; Reversal strategies; Momentum strategies (search for similar items in EconPapers)
JEL-codes: G10 G11 G14 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s11408-020-00356-2

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