Momentum Strategy for Making Abnormal Return: Evidence from Power and Telecom Sector

摘要

This paper aims to study the momentum strategy in Telecom and Power sector in two time windows (1) 5-5 momentum strategy and (2) 8-8 momentum strategy. Thirteen companies in Telecom sector and Fourteen from Power sector that are listed in Bombay Stock Exchange were studied. The adjusted closing price data of these companies was collected for the period of 2009-2017. This study adopted the Jegadeesh and Titman methodology and the empirical result shows that momentum strategies have Positive returns in Telecom sector but, in Power sector momentum strategies have Negative returns.