MOMENTUM EFFECT OR DEFECT ON THE BULGARIAN STOCK EXCHANGE
Stefanov, Miroslav
This paper presents an empirical research and evaluation of trading strategies that buy past winners and sell past losers, also called relative strength or momentum strategies. The sample data is based on the monthly stock prices of all 378 shares traded on the Bulgarian Stock Exchange (BSE), covering the period from 2000 to 2010. Relying on time-series patterns in security returns, three sets of sixteen strategies each are implemented and ana...