Download or read book Momentum Around the Globe The Pervasiveness of the Momentum Effect in Relative Stock Performance written by Andra Musat and published by GRIN Verlag. This book was released on 2015-06-10 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2015 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 2,0, University of Mannheim, course: Behavioral Finance, language: English, abstract: Extensive research has been dedicated to the momentum effect in the past two decades since it was first documented in 1993 by Jegadeesh and Titman. Put simply, momentum can be understood as persistence in relative stock performance: stocks which have performed well over the past three to twelve months continue to outperform stocks which have performed poorly over the next three to twelve months. The aim of this paper is to gather, compare and evaluate the available evidence so far to show that momentum is effective globally, with a focus on analyzing co-movement. Besides the geographical dimension, the paper will also look at the extent to which profitable momentum returns are prevalent in time and are not only confined to stocks, but are characteristic for much more asset classes. As such, the main contribution of the paper is the brief analysis of the pervasiveness of the momentum effect along three dimensions: geographical, temporal and across asset classes.

Download or read book Market Momentum written by Stephen Satchell and published by John Wiley & Sons. This book was released on 2020-12-02 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: A one-of-a-kind reference guide covering the behavioral and statistical explanations for market momentum and the implementation of momentum trading strategies Market Momentum: Theory and Practice is a thorough, how-to reference guide for a full range of financial professionals and students. It examines the behavioral and statistical causes of market momentum while also exploring the practical side of implementing related strategies. The phenomenon of momentum in finance occurs when past high returns are followed by subsequent high returns, and past low returns are followed by subsequent low returns. Market Momentum provides a detailed introduction to the financial topic, while examining existing literature. Recent academic and practitioner research is included, offering a more up-to-date perspective. What type of book is Market Momentum and how does it serve a range of readers’ interests and needs? A holistic market momentum guide for industry professionals, asset managers, risk managers, firm managers, plus hedge fund and commodity trading advisors Advanced text to help graduate students in finance, economics, and mathematics further develop their funds management skills Useful resource for financial practitioners who want to implement momentum trading strategies Reference book providing behavioral and statistical explanations for market momentum Due to claims that the phenomenon of momentum goes against the Efficient Markets Hypothesis, behavioral economists have studied the topic in-depth. However, many books published on the subject are written to provide advice on how to make money. In contrast, Market Momentum offers a comprehensive approach to the topic, which makes it a valuable resource for both investment professionals and higher-level finance students. The contributors address momentum theory and practice, while also offering trading strategies that practitioners can study.

Download or read book Quantitative Momentum written by Wesley R. Gray and published by John Wiley & Sons. This book was released on 2016-09-13 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: The individual investor's comprehensive guide to momentum investing Quantitative Momentum brings momentum investing out of Wall Street and into the hands of individual investors. In his last book, Quantitative Value, author Wes Gray brought systematic value strategy from the hedge funds to the masses; in this book, he does the same for momentum investing, the system that has been shown to beat the market and regularly enriches the coffers of Wall Street's most sophisticated investors. First, you'll learn what momentum investing is not: it's not 'growth' investing, nor is it an esoteric academic concept. You may have seen it used for asset allocation, but this book details the ways in which momentum stands on its own as a stock selection strategy, and gives you the expert insight you need to make it work for you. You'll dig into its behavioral psychology roots, and discover the key tactics that are bringing both institutional and individual investors flocking into the momentum fold. Systematic investment strategies always seem to look good on paper, but many fall down in practice. Momentum investing is one of the few systematic strategies with legs, withstanding the test of time and the rigor of academic investigation. This book provides invaluable guidance on constructing your own momentum strategy from the ground up. Learn what momentum is and is not Discover how momentum can beat the market Take momentum beyond asset allocation into stock selection Access the tools that ease DIY implementation The large Wall Street hedge funds tend to portray themselves as the sophisticated elite, but momentum investing allows you to 'borrow' one of their top strategies to enrich your own portfolio. Quantitative Momentum is the individual investor's guide to boosting market success with a robust momentum strategy.

Download or read book Momentum Crashes written by Heinrich Stilling and published by GRIN Verlag. This book was released on 2019-10-17 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2013 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,7, University of Mannheim, language: English, abstract: This paper focuses on the structures and characteristics that underlie the periods of extremely poor momentum performance and sets a special focus on the latest 2009 momentum crash period. It answers questions regarding the momentum portfolio composition during this period and quantitatively evaluates the momentum portfolio, measuring commonly applied performance indicators. The results are then contrasted with a non-crash benchmark period. The momentum strategy is a simple yet powerful trading strategy. Momentum implies that past stock prices can predict future stock price development. According to momentum theory, past winner stocks are likely to continue their good performance while past loser stocks are likely to continue to perform poorly. Hence, applying this strategy, investors buy stocks that have risen in the past the strongest and (short) sell those that have declined in value the most. This very simple decision rule is practically the only important guideline to follow regarding the momentum strategy. Surprisingly and in spite of its simplicity, momentum works and yields high excess returns. Over the 1927 to 2012 period, the portfolio of past winner stocks yields an annualized excess return of 7.157% compared to the market portfolio. Even though momentum usually performs exceptionally well, it does not offer free lunch. In the 1927 to 2012 time frame, there are a few periods of extreme momentum underperformance that could have wiped out some significant wealth. For instance, during the most recent 2009 momentum crash, this strategy would have erased 104.28% of an initial investment in just 3 months.

Download or read book Two Essays on Momentum written by and published by . This book was released on 2005 with total page 169 pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the most controversial topics in recent investment literature has been stock return momentum. If an investor buys past winners and sells past losers, he will earn positive profits in the intermediate-term horizon (3 to 12 months). While behavioral theories seem to dominate as an explanation for the momentum phenomenon since momentum has been regarded as direct counter evidence for the efficient market hypothesis, Chordia and Shivakumar (2002) find that momentum can be explained by a set of macroeconomic variables. Chordia and Shivakumar argue that momentum is caused by time-varying expected returns that can be predicted by a set of macroeconomic variables, which might be associated with time-varying risk. However, the first essay of my dissertation shows that even if the macroeconomic variables are independent of stock returns, they can appear to predict momentum profits if they exhibit high persistence and the momentum portfolio period overlaps with the parameter estimation period. I am able to produce results similar to those of Chordia and Shivakumar with randomly generated variables, while I show that once the parameter estimation periods are changed, the predictive power of the macroeconomic variables for momentum disappear. My results provide evidence that the predictive power of the macroeconomic variables comes from a spurious relation between stock returns during the momentum portfolio formation period and predicted returns from the macroeconomic variables. My results further suggest that Chordia and Shivakumar's argument that the predictive power of macroeconomic variables for momentum is a challenge to behavioral theories is indeed premature. The second essay shows that the ratio of the 50-day moving average to the 200-day moving average has significant predictive power for future returns. Stocks with a high moving average ratio tend to outperform stocks with a low moving average ratio for the next six months. This predictive power is distinct from that of the nearness of the current price to the 52-week high, which was first documented by George and Hwang (2004). The moving average ratio, combined with the nearness to the 52-week high, can explain most of the intermediate-term momentum profits. This suggests that an anchoring bias in which investors use moving averages and the 52-week high as their reference points for estimating fundamental values is the main source of momentum effects. Momentum profits caused by the anchoring bias do not disappear in the long-run, confirming George and Hwang's argument that intermediate-term momentum and long-term reversals are separate phenomena.

Download or read book The Enduring Effect of Time Series Momentum on Stock Returns Over Nearly 100 Years written by Ian D'Souza and published by . This book was released on 2017 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study documents the significant profitability of “time-series momentum” strategies in individual stocks in the US markets from 1927 to 2014 and in international markets since 1975. Unlike cross-sectional momentum, time-series stock momentum performs well following both up- and down-market states, and it does not suffer from January losses and market crashes. An easily formed dual-momentum strategy, combining time-series and cross-sectional momentum, generates striking returns of 1.88% per month. We test both risk based and behavioral models for the existence and durability of time-series momentum and suggest the latter offers unique insights into its continuing factor dominance.

Download or read book On the Interaction Between Momentum Effect and Size Effect written by Yasser Alhenawi and published by . This book was released on 2014 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses a sample of firms listed in the NYSE, AMEX, and NASDAQ between January 1963 and December 2012 to analyze the interaction between size effect and momentum effect in cross-sectional stock returns. Furthermore, this paper focuses on the evolution of this interaction through different market states. I report a significant shift in stock returns structure during the rising markets of the 1990s and the 2000s. First, momentum has absorbed the size effect. Second, the momentum effect has become stronger in larger, not smaller, firms. These patterns are indicative of a strong interaction between the two effects. Conceivably, in up markets, firms grow fast, and thus, the size and momentum effects stem from a common economic phenomenon: growth. The findings are robust to variations in the length of the formation period and to the use of residual return (instead of total return) to rank stocks.

Download or read book Portfolio Construction Measurement and Efficiency written by John B. Guerard, Jr. and published by Springer. This book was released on 2016-09-23 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume, inspired by and dedicated to the work of pioneering investment analyst, Jack Treynor, addresses the issues of portfolio risk and return and how investment portfolios are measured. In a career spanning over fifty years, the primary questions addressed by Jack Treynor were: Is there an observable risk-return trade-off? How can stock selection models be integrated with risk models to enhance client returns? Do managed portfolios earn positive, and statistically significant, excess returns and can mutual fund managers time the market? Since the publication of a pair of seminal Harvard Business Review articles in the mid-1960’s, Jack Treynor has developed thinking that has greatly influenced security selection, portfolio construction and measurement, and market efficiency. Key publications addressed such topics as the Capital Asset Pricing Model and stock selection modeling and integration with risk models. Treynor also served as editor of the Financial Analysts Journal, through which he wrote many columns across a wide spectrum of topics. This volume showcases original essays by leading researchers and practitioners exploring the topics that have interested Treynor while applying the most current methodologies. Such topics include the origins of portfolio theory, market timing, and portfolio construction in equity markets. The result not only reinforces Treynor’s lasting contributions to the field but suggests new areas for research and analysis.

Download or read book The Momentum Effect Stock Markets written by Ahsan Zubair and published by LAP Lambert Academic Publishing. This book was released on 2015-03-03 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt: Traditional finance theory states that predictability of future stock prices and abnormal profit based on the trading strategies are impossible. But, a number of researchers during 1980's document that stock prices are predictable based on their past returns. In 1993, Jegadeesh and Titman discover medium term momentum in stock prices where past winners continue to outperform past losers by around 1% per month over the period of 3 to 12 months. After that numerous studies document that the momentum effect is a worldwide phenomenon. From different possible explanations of the momentum effect, it seems that neither risk related explanation nor data snooping and flawed methodology is able to provide widely excepted explanation of the phenomenon. The behavioural finance theory with the help of some models, however, appears to provide the best explanations for the momentum effect. These behavioural models are too many and none of these models is superior among others because each model individually contributes to explaining the momentum effect in different markets or different stock types.

Download or read book The Momentum Effect in Country Level Stock Market Anomalies written by Adam Zaremba and published by . This book was released on 2019 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this paper is to investigate the momentum effect in country-level anomalies in global equity markets. By using a sample of 78 countries for the period from 1995 to 2015, we test a set of potential 40 cross-sectional inter-market anomalies, some of which had never been examined before. Based on the findings, according to which half of these return patterns serve as reliable and robust sources of returns, we provide convincing evidence that the anomalies with good performance over the past 6-12 months tend to outperform in the future. Furthermore, the study shows that returns on individual country-level strategies are weakly correlated. Consequently, developing a portfolio consisting of past top-performing strategies may constitute a valuable approach for international investors.

Download or read book The Disposition Effect and Momentum written by Mark Grinblatt and published by . This book was released on 2002 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: Prior experimental and empirical research documents that many investors have a lower propensity to sell those stocks on which they have a capital loss. This behavioral phenomenon, known as 'the disposition effect, ' has implications for equilibrium prices. We investigate the temporal pattern of stock prices in an equilibrium that aggregates the demand functions of both rational and disposition investors. The disposition effect creates a spread between a stock's fundamental value -- the stock price that would exist in the absence of a disposition effect -- and its market price. Even when a stock's fundamental value follows a random walk, and thus is unpredictable, its equilibrium price will tend to underreact to information. Spread convergence, arising from the random evolution of fundamental values, generates predictable equilibrium prices. This convergence implies that stocks with large past price runups and stocks on which most investors experienced capital gains have higher expected returns that those that have experienced large declines and capital losses. The profitability of a momentum strategy, which makes use of this spread, depends on the path of past stock prices. Crosssectional empirical tests of the model find that stocks with large aggregate unrealized capital gains tend to have higher expected returns than stocks with large aggregate unrealized capital losses and that this capital gains 'overhang' appears to be the key variable that generates the profitability of a momentum strategy. When this capital gains variable is used as a regressor along with past returns and volume to predict future returns, the momentum effect disappears

Download or read book Stock Market Rebound written by Scott Douglas and published by Independently Published. This book was released on 2020-06-11 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: If you want to quickly rebound from the economic downturn, then keep reading ... The global coronavirus pandemic and resulting shutdown of the economy have left many devastated. Not a single family in North America has been spared. The impact can be felt everywhere. Massive job losses, the shutdown of entire industries, travel restrictions, and social distancing are now the norm. We're living within a new world order. And we're all feeling the financial impact of this turn of events. Many Americans have lost entire fortunes as a result of the recent stock market meltdown. Seeing your investment portfolio being decimated in the wake of this global health crisis is disheartening. How do you fathom even getting back to even? Despite being caught in the middle of this recent economic downturn, things will REBOUND. All major market crashes turn around. Isn't it about time for you to create your own economic stimulus package? All major stock market corrections create investment opportunities enabling you to take advantage of mispricings in the stock market. Knowing how to capitalize on this turn of events becomes the challenge. This is where Stock Market Rebound comes in. This step-by-step guide takes you by the hand and walks you through a momentum investing approach that takes advantage of stock market corrections. Not all companies were impacted by the downturn of events. Some have been unfairly dragged down with the overall market making them potential momentum plays. When the stock market rebounds, and it always does, these stocks should see some major stock price appreciation. Momentum investing is not new. What is new is the context and the approach being used in this resource. Capital preservation should be foremost on your mind. Any investment system needs to take this new reality into consideration. Societal changes as to how we'll live our lives moving forward has evolved. This is why the momentum investing approach outlined in this book incorporates covered call writing into the discussion to protect your hard-earned capital. Not only will you learn how to reduce risk, you'll also learn how to generate cash flow into your brokerage account when the momentum behind a stock slows. Important knowledge to tap into, right? You're about to discover: When to expect a rebound in the economy and what it might look like? What 3 types of companies make excellent momentum picks? Why you should avoid the BEACH industries? Which industries will bounce back quickly? What handful of indicators are the most helpful in analyzing prospects? How to safely enter the market and best time momentum plays? How do you limit risk while augmenting your returns? When to use covered calls to protect your positions and generate monthly income? How to create a simple, effective momentum investing plan? and much more... Not only that, you'll also see firsthand how various investment scenarios could play out. An entire section is devoted to exploring several case studies so you can better apply the concepts being discussed in your guide. Even if you've never invested in the stock market before, Stock Market Rebound can provide you with enough insights to safely enter and exit momentum plays. AND even if you don't have a lot of investment capital, you can still benefit Your detailed guide works on the premise that most investors don't have a lot of capital to invest in the markets. Hence, the emphasis on working with small, manageable positions. The markets aren't going to wait for you. Isn't it about time to take back control? So, if you want to quickly rebound from the latest economic downturn, then scroll up and click the "Add to Cart" button now!

Download or read book The Momentum Effect on Stock Markets written by Fabian Leonhardt and published by . This book was released on 2011 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Your Complete Guide to Factor Based Investing written by Andrew L. Berkin and published by . This book was released on 2016-10-07 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: There are hundreds of exhibits in the investment "factor zoo." Which ones are actually worth your time, and your money? Andrew L. Berkin and Larry E. Swedroe, co-authors of The Incredible Shrinking Alpha, bring you a thorough yet still jargon-free and accessible guide to applying one of today's most valuable quantitative, evidence-based approaches to outperforming the market: factor investing. Designed for savvy investors and professional advisors alike, Your Complete Guide to Factor-Based Investing: The Way Smart Money Invests Today takes you on a journey through the land of academic research and an extensive review of its 50-year quest to uncover the secret of successful investing. Along the way, Berkin and Swedroe cite and distill more than 100 academic papers on finance and introduce five unique criteria that a factor (at its most basic, a characteristic or set of characteristics common among a broad set of securities) must meet to be considered worthy of your investment. In addition to providing explanatory power to portfolio returns and delivering a premium, Swedroe and Berkin argue a factor should be persistent, pervasive, robust, investable and intuitive. By the end, you'll have learned that, within the entire "factor zoo," only certain exhibits are worth visiting and only a handful of factors are required to invest in the same manner that made Warren Buffett a legend. Your Complete Guide to Factor-Based Investing: The Way Smart Money Invests Today offers an in-depth look at the evidence practitioners use to build portfolios and how you as an investor can benefit from that knowledge, rendering it an essential resource for making the informed and prudent investment decisions necessary to help secure your financial future.

Download or read book The Handbook of Equity Market Anomalies written by Leonard Zacks and published by John Wiley & Sons. This book was released on 2011-08-24 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.

Download or read book Where Has the Trend Gone An Update on Momentum Returns in the U S Stock Market written by Steven D. Dolvin and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Prior studies find broad-based support for the efficacy of trading strategies based on momentum in stock returns. More recent studies, however, note a declining benefit relative to that identified in seminal studies on momentum. These recent studies, however, primarily examine time periods ending prior to or immediately following the 2008 financial crisis. Thus, we extend this line of research by exploring the profitability of momentum trading in the U.S. equity markets over the broader 1986 to 2015 time period. Our results for the earlier part of our sample period (i.e., 1986 to 2006) fall in line with previous studies, as we find a monotonic relationship between decile portfolios formed based on prior six month performance and their subsequent twelve month holding period excess returns. In contrast, when we evaluate more recent periods (i.e., 2007-2015 and 2010-2015), we find dramatically different results. In particular, alphas for the “winner” portfolio, which have historically been the highest, are actually negative during both sub-periods. Furthermore, the curvature of the recent portfolio return distribution is clearly no longer monotonic. Rather, it follows a more inverted U-shaped curve from the “winner” portfolio (P1) to the “loser” (P10) portfolio, with excess returns cresting around the fifth decile portfolio (P5). In fact, we find that the risk adjusted returns of the “winner” portfolio (P1) are significantly less than the middle portfolio (P5) for both recent sub-periods. These results suggest that individual and institutional investors seeking to profit from traditionally-based momentum trading strategies may need to rethink their approaches.

Download or read book Persistency of the Momentum Effect written by Hong-Yi Chen and published by . This book was released on 2018 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Momentum profits, resulting from buying winners and selling losers, are robust in the stock market worldwide. However, more than 40% of winners and losers immediately fall out of their respective groups in the month following formation, suggesting that intermediate-term momentum persistency is not universal among all stocks with extreme past performance. The return reversals that these nonpersistent winners and losers exhibit in the month following formation are strong, resulting in a monthly loss of more than 17% for a momentum strategy constructed on such stocks. By contrast, persistent winners and losers, defined as those staying in their groups for at least one more month, exhibit much stronger performance persistency. Further analysis indicates that the persistency is stronger for stocks with greater information asymmetry and more extensively heterogeneous investor beliefs, consistent with the underreaction hypothesis for price momentum.