An investigation into momentum in the UK stock market and the behaviour of brokers and analysts

Áine Murphy

Research output: Types of ThesisDoctoral Thesis


The efficiency of financial markets has been, and still is, a contentiously debated topic throughout the years. The momentum trading strategy has long since been recognised as a continuing anomaly in international markets, with rational explanations failing to explain the arbitrage possibilities as a result of engaging in a momentum trading strategy. Furthermore, the behaviour and impact of analyst output, particularly during times of economic crisis, is constantly being scrutinised. To this end, this thesis aims to determine if abnormal returns can be generated in the presence of momentum in the UK stock market between 1995 and 2015. Furthermore, research on the presence of industry momentum in the UK market is lacking, this thesis aims to fill this research gap whilst adding to existing literature on the topic. Additionally, the role of analysts and the value and veracity of their recommendations in times of economic crisis is documented. Momentum returns are generated in the UK stock market for both individual stock portfolios and industry portfolios, however, individual momentum is a better performing strategy overall. The performance of the momentum strategy appears to deteriorate in the latter years of this study. At the firm level analysts’ advice appears to contain investment value at least during the Internet bubble years. However, at an aggregate level no stable relationship is found between stock returns and various measures of analysts’ advice. From an investment perspective the results imply that individual momentum strategies are more profitable in the UK market compared to industry momentum strategies. Analysts’ advice at the aggregate level lacks predictive power; however, at the firm level investment value is apparent during the Internet bubble period.
Original languageEnglish
Awarding Institution
  • O'Keeffe, Cormac, Supervisor
  • Forbes, William P., Supervisor, External person
Publication statusUnpublished - 2017


  • UK Stock market, Analysts


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