Market State, Investor Sentiment and Momentum in New Zealand Equities
|dc.contributor.advisor||Crack, Timothy Falcon|
|dc.contributor.author||Bode, Daniel Joseph|
|dc.identifier.citation||Bode, D. J. (2013). Market State, Investor Sentiment and Momentum in New Zealand Equities (Thesis, Master of Business). University of Otago. Retrieved from http://hdl.handle.net/10523/3983||en|
|dc.description.abstract||The state of the market and investor sentiment are found to be crucial in determining the profitability of momentum strategies in New Zealand between 1987 and 2011. Momentum effects are lowest following neutral market and sentiment periods, and greatest following up market and optimistic sentiment periods. In my view, this is due to the cognitive biases of investors being accentuated by emotion during strong bull or bear periods. On the other hand, investors are less emotive during a stationary market phase. Domestic macroeconomic factors are unable to explain momentum returns. Results are robust to capital asset pricing model (CAPM) and Fama-French (1993) risk adjustments.|
|dc.publisher||University of Otago|
|dc.rights||All items in OUR Archive are provided for private study and research purposes and are protected by copyright with all rights reserved unless otherwise indicated.|
|dc.title||Market State, Investor Sentiment and Momentum in New Zealand Equities|
|thesis.degree.discipline||Accountancy & Finance|
|thesis.degree.name||Master of Business|
|thesis.degree.grantor||University of Otago|
Files in this item
There are no files associated with this item.
This item is not available in full-text via OUR Archive.
If you are the author of this item, please contact us if you wish to discuss making the full text publicly available.