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You are considering a momentum strategy that buys winner stocks (with good recent performance) and short-sells loser stocks (with poor recent performance). You start trading
You are considering a momentum strategy that buys winner stocks (with good recent performance) and short-sells loser stocks (with poor recent performance). You start trading on June 30, 2020. If the market return is -15 % from July 1, 2020 to June 30, 2021, then which of the following do you expect to be true?
A. | The loser stocks have positive returns. | |
B. | The loser stocks have returns that are higher than the market. | |
C. | The loser stocks have negative returns. | |
D. | The loser stocks have returns that are lower than the market. |
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