Momentum and contrarian strategies in Eurozone futures markets

Momentum and contrarian trading strategies have been tested extensively on equity markets around the world. In the present paper, we broaden the research horizon to futures markets, particularly those of the Eurozone, which are well suited to the implementation of similar strategies, thanks to the absence of constraints on shorting operations and low transaction costs. We document persistent evidence of both anomalies. Moreover, the excess returns present a similar pattern to those obtained in equity markets, even after adjusting for risk using asset pricing models, such as the CAPM, the Fama and French model, and the Carhart model. We present evidence that abnormal returns in futures markets are closely related to those obtained from similar strategies in stock markets, without being subordinate to the performance of the latter.