This study investigates if the momentum idea can be implemented in the Greek
stock exchange and with what results. The analysis conducted is being with two
approaches. The first approach is the momentum factor that constructs “winners”
and “losers” portfolios, based on the past 12 months returns and calculates the
“zero cost” portfolio which is the deduction of the “winners” – “losers”. The
momentum factor generates negative returns for the examination period of -‐0.87%
per month. The second approach is the trend factor, a factor that tries to capture the
trend signals of the stocks based on the moving averages of 3, 6 and 9 months. The
average abnormal return for the trend factor is 4.6% per month for the examination
period. Moreover it is found that this average return is statistical significant and it is
explained by the risks adjustments.
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