The aim of the paper is verifying the appearance of the momentum effect and winner-loser effect for the separate sectors of economy. The research are provided for the sector subindexes from the WIG index, calculated by the WSE, and sector subindexes belonging to WIG20 and MIDWIG indexes calculated for the investigation. The research covers the period from 3.10.1994 10.10.2008, that is divided into subperiods where the break points are crucial for the Warsaw Stock Exchange events. In this way 22 subsamples are distinguished. The efficiency of momentum strategy was checked for portfolios with one subperiod duration. In case of the index, for which momentum strategy at considered subperiods didn’t occur, efficiency was verified also for 3, 6, 9 and 12 months. The winner-loser strategy was tested for returns based on 2 and 3 subperiods and holding for next 2 and 3 subperiods.

1. FULLTEXT: Momentum and winner-loser strategies: Evidence for the Warsaw Stock Exchange, Microsoft Office Document, 0.2MB
2. FULLTEXT: Momentum and winner-loser strategies: Evidence for the Warsaw Stock Exchange, Microsoft Office Document, 0.2MB

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