The profitablility and persistency of the momentum effect in the UK stock market

The momentum effect, that stocks which outperformed (under-performed) the average stock return in the past few months tend to continue to perform well (poorly) over the subsequent few months, is one of the most fascinating stock market anomalies attracting increasing attention from academics and the investment industry. Such evidence of serial correlation in returns is a direct challenge to the efficient market hypothesis. Although some efforts have been made by researchers in trying to understand this anomaly and to explore various potential explanations, many critical issues remain unresolved. This research explores new evidence on the issues of the profitability and persistency of the momentum effect as well as potential explanations, using data for U.K. stocks for the period 19564- This thesis explores two main themes.EThOS - Electronic Theses Online ServiceGBUnited Kingdo