PROFITABILITY OF MOMENTUM AND CONTRARIAN STRATEGIES IN THE COLOMBO STOCK EXCHANGE (CSE)
This paper examines the proﬁ tability of momentum and contrarian strategies in the Colombo Stock Exchange (CSE) around 1 to 12 months horizon covering the period from October 1991 to June 2005. We follow the same methodology of Jegadeesh and Titman (1993). The study ﬁ nds that momentum strategies are highly proﬁ table in the CSE. Examining between pre-and post-automation periods of the CSE, we ﬁ nd evidence that momentum strategies are signiﬁ cantly more proﬁ table during post-automation period.
Keywords: Momentum Strategies, Contrarian Strategies, Colombo Stock Exchange
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