%0 Journal Article %1 alvessurvivorship %A Alves, Carlos Francisco %D 2021 %J BOHR International Journal of Finance and Market Research (BIJFMR) %K Momentumstrategy Portfolioinvestment Survivorshipbias %N 1 %P 7-14 %R https://doi.org/10.54646/bijfmr.002 %T Survivorship bias on the Momentum Effect: Evidence from the Portuguese Market %U https://journals.bohrpub.com/index.php/bijfmr/article/view/64 %V 1 %X This study reports survivorship bias for the momentum effect. Effectively, this study shows that the Portuguese stock market does not exhibit the “momentum effect” when all listed stocks are considered spanning the period from January 1991 to December 2016. However, this phenomenon was detected when only survivor stocks are used. This study also shows that average returns for momentum portfolios were similar before and after the 2007 financial crisis.

@article{alvessurvivorship, abstract = {This study reports survivorship bias for the momentum effect. Effectively, this study shows that the Portuguese stock market does not exhibit the “momentum effect” when all listed stocks are considered spanning the period from January 1991 to December 2016. However, this phenomenon was detected when only survivor stocks are used. This study also shows that average returns for momentum portfolios were similar before and after the 2007 financial crisis. }, added-at = {2021-08-12T12:46:28.000+0200}, author = {Alves, Carlos Francisco}, biburl = {https://www.bibsonomy.org/bibtex/27961b7af2f0e18363044133f5696eccf/ijfmrjournal}, doi = {https://doi.org/10.54646/bijfmr.002}, interhash = {18d30db73a25f1dfcc7cb4c266432b41}, intrahash = {7961b7af2f0e18363044133f5696eccf}, journal = {BOHR International Journal of Finance and Market Research (BIJFMR)}, keywords = {Momentumstrategy Portfolioinvestment Survivorshipbias}, language = {English}, month = {june}, number = 1, pages = {7-14}, timestamp = {2023-01-03T13:19:16.000+0100}, title = {Survivorship bias on the Momentum Effect: Evidence from the Portuguese Market}, url = {https://journals.bohrpub.com/index.php/bijfmr/article/view/64}, volume = 1, year = 2021 }