| dc.description.abstract | A generation ago, the intellectual dominance of the efficient markets hypothesis as the accepted
asset pricing paradigm was unchallenged. By the start of the twenty-first century, however, the
acceptance of the efficient market hypothesis had become far less universal. Many financial
economists and statisticians began to believe that stock prices are at least partially predictable.
The profitability of the momentum strategy - the strategy of buying recent winning stocks and
shorting recent losing stocks- as first documented in Jegadeesh and Titman (1993) remains one
of the anomalies that continue to confound the efficient markets theory. This study sought, first,
to establish whether the NSE experienced price momentum in the period covered. Next we
tested whether momentum profitability could be explained by, and was compensation for, risk.
Finally, we investigated any relationship between price momentum and the well documented
size anomaly. We found out that the NSE experienced significant degree of price momentum in
the period covered. And that this momentum profitability could not be explained by the three
factor risk factors of Fama-French, and that there was no size effect to momentum. | en |
