| This article mainly researched on past 20 years America stock market monthly return on momentum effect and contrarian effect. Empirical result shows that in last recent 20 years, obvious momentum effect still exist in the middle term (6 month) and long term (12 month) market, and weak contrarian effect exists in short term(3 month). And after considering turnover effect, the momentum effect has been enhanced, while the contrarian effect has no obvious change.In recent 20 years, there are several big trend reverse, after research the momentum effect of each trend period, momentum effect and contrarian effect has been obviously changed after each trend reverse.Besides these, this article also compare the return of selected portfolio to Standard Pool's composite index, and has shown that in most combination, buy winner portfolio will beat the market. |
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