Download or read book Understanding the Sources of Momentum Profits written by Qiang Kang and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Understanding the Sources of Momentum Profits written by Qiang Kang and published by . This book was released on 2003 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Sources of Momentum Profits written by Pavel Bandarchuk and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Short Term Momentum Profits and Their Source written by Abdullah Ejaz and published by LAP Lambert Academic Publishing. This book was released on 2013 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main objective of this paper is to seek the source that can explain the momentum profits because the source of momentum profits has been disputed. The secondary objective of the paper is to affirm the findings of pervious authors about the presence of short term momentum effect and reaffirm the notion that CAPM cannot explain momentum profits supported by large number of authors. For the primary objective, a set of variables has been chosen, that fall under the category of "Business Indicators," to explain the momentum profits. It is found that a variable "Starting a Business" could explain the source of momentum profits whereas other variables may have negligible or no influence over momentum profits. It is also reaffirmed that short term momentum effect has been found in the 14 stock markets and CAPM could not explain the momentum profits. This study is not conclusive due to limitation of data but it does give a source of momentum profits and sheds light on future research about the sources that can explain momentum profits in great detail.

Download or read book Sources and Practicality of Momentum Profits written by and published by . This book was released on 2009 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Rational Sources of Momentum Profits written by Sanjay Sehgal and published by . This book was released on 2006 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we evaluate if there are any momentum patterns in Indian stock returns. We report strong momentum profits for individual stocks as well as a wide range of characteristic-sorted portfolios. The momentum returns are not captured by standard CAPM. However, the Fama-French three-factor model explains momentum as the characteristic-sorted momentum portfolios tend to load on size and book equity to market equity factors. Our results suggest that there are rational sources of momentum profits in the Indian environment. The findings are in contrast with those of US where the momentum explanation is tilted towards delayed price reaction to firm-specific information. Perhaps, a more complex market like US requires an asset pricing model that has a factor structure which is more elaborate than the Fama-French model. Our work is a step towards resolving the momentum controversy.

Download or read book Understanding the Source of Momentum Profits written by Qiang Kang and published by . This book was released on 2003 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Causes and Seasonality of Momentum Profits written by Richard W. Sias and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: With Januaries (a month in which lagged quot;losersquot; typically outperform lagged quot;winnersquot;) excluded, the average monthly return to a momentum strategy for U.S. stocks was found to be 59 bps for non-quarter-ending months but 310 bps for quarter-ending months. The pattern was stronger for stocks with high levels of institutional trading and was particularly strong in December. The results suggest that window dressing by institutional investors and tax-loss selling contribute to stock return momentum. Investors using a momentum strategy should focus on quarter-ending months and securities with high levels of institutional trading.

Download or read book Investigating the Source of Momentum Profits written by Xiaoting Zhu and published by . This book was released on 2001 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Relevance of Information and Trading Costs in Explaining Momentum Profits written by Sina H. Badreddine and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Considerable evidence from a plethora of countries suggests that momentum strategies generate profits. These have been difficult to rationalize and evidence on the sources of such profitability is inconclusive.We use a sample of optioned stocks that are very liquid and large and have fewer short sales constraints, and we compare our results with control samples of non optioned stocks chosen on the basis of market value, turnover and bid-ask spread. The sample characteristics, and the fact that derivatives improve the impounding of information into prices, enable us to draw conclusions about the causes of momentum profits. While we find that short sales constraints are not the major driver of profitability and that most momentum profits disappear using two transactions costs measures of the bid-ask spread, one not previously used, the persistence of some momentum profits indicates that the market under reacts even to the most publicly available information.

Download or read book Dual Momentum Investing An Innovative Strategy for Higher Returns with Lower Risk written by Gary Antonacci and published by McGraw Hill Professional. This book was released on 2014-11-21 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: The investing strategy that famously generates higher returns with substantially reduced risk--presented by the investor who invented it "A treasure of well researched momentum-driven investing processes." Gregory L. Morris, Chief Technical Analyst and Chairman, Investment Committee of Stadion Money Management, LLC, and author of Investing with the Trend Dual Momentum Investing details the author’s own momentum investing method that combines U.S. stock, world stock, and aggregate bond indices--a formula proven to dramatically increase profits while lowering risk. Antonacci reveals how momentum investors could have achieved long-run returns nearly twice as high as the stock market over the past 40 years, while avoiding or minimizing bear market losses--and he provides the information and insight investors need to achieve such success going forward. His methodology is designed to pick up on major changes in relative strength and market trend. Gary Antonacci has over 30 years experience as an investment professional focusing on under exploited investment opportunities. In 1990, he founded Portfolio Management Consultants, which advises private and institutional investors on asset allocation, portfolio optimization, and advanced momentum strategies. He writes and runs the popular blog and website optimalmomentum.com. Antonacci earned his MBA at Harvard.

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 Momentum Profits and Idiosyncratic Volatility written by Unyong Pyo and published by . This book was released on 2013 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Purpose - This study focuses on the profitability of momentum trading in the Korean stock market. More specifically, an examination of the relationship between momentum returns and idiosyncratic volatility (IVol) is conducted to determine whether momentum profits can be explained by IVol.Design/Methodology/Approach - We form portfolios based on their past performance and examine the momentum, or contrarian returns, as the difference between winning and losing portfolios. To confirm that the momentum strategy provides excess returns, we study the relationship between momentum returns and IVol. We also examine the Fama and French (1993) three-factor model to see whether systematic risk affects momentum profits. We control firm size, stock price, and turnover to determine robustness. Finally, we investigate a time-series relationship between aggregate IVol and momentum profits.Findings - We illustrate that excess returns are obtained from a momentum strategy, not a contrarian strategy, in the Korean stock market. Momentum returns are higher among high IVol stocks, especially high IVol winners. Examining the Fama and French (1993) three-factor model, we find that momentum returns cannot be explained by systematic risk. The findings are robust after controlling for factors such as firm size, book-to-market ratio, and turnover. We confirm the effect of IVol on momentum returns by illustrating that a time-series relationship between momentum returns and aggregate IVol is positive.Originality/Value - This paper is among the first, to our knowledge, to examine the relationship between momentum profits and IVol in the Korean stock market, one of the mature financial markets. The findings in this study can be applied to better understand the sources of gains from the momentum strategy in international stock markets.

Download or read book Quantitative Momentum written by Wesley R. Gray and published by John Wiley & Sons. This book was released on 2016-10-03 with total page 215 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 Dynamic Factors and the Source of Momentum Profits written by Tong Yao and published by . This book was released on 2006 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses the dynamic principal component method to estimate a dynamic factor model for stock returns and identify the source of momentum profits. We find that momentum is a systematic-return phenomenon - momentum profits are primarily due to stock return response to a small number of dynamic systematic factors, and the contribution by the idiosyncratic component of stock return is statistically insignificant. We also find that the estimated dynamic factors can be partially related to observed economic factors.

Download or read book What causes Momentum Returns Evidence from different Asset Classes written by Fabian Hertel and published by GRIN Verlag. This book was released on 2022-03-21 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2021 in the subject Business economics - Investment and Finance, grade: 2,0, University of Münster, language: English, abstract: This paper discusses possible asset-specific and cross-asset explanation approaches for momentum appearance. The two main threads in literature, stock momentum and momentum of other assets, are discussed separately and subsequently checked for overlaps. The paper also deals with the definition of momentum as an anomaly itself in context of rational and behavioral concepts. It uncovers selected contrary observations and outlines possible conformities. Capital market anomalies are a phenomenon triggering ongoing debates about the trading behavior of investors on financial markets. They are contradicting the core ideas of the efficient market hypothesis (EMH), which considers financial markets efficient and investors rational and fully informed. One of the EMH key hypotheses, especially supported by Fama and by Samuelson, is the principle of random walk. If this principle holds, the prices of assets on financial markets are only influenced by public and firm-specific news, develop apart from that completely random and are not predictable. However, empirical observations question the random walk principle. They tend to indicate specific patterns in asset price developments instead of complete randomness. Doubts on the EMH and the random walk principle thus cannot be neglected. A common answer to these observations is the existence of additional risk factors which are currently not covered by the applied pricing models. Current asset pricing models mainly rely on Markowitz (1952) and the modern portfolio theory as well as on the Capital Asset Pricing Model (CAPM) from Sharpe (1964), Lintner (1965), and Mossin (1966). These models are rather a benchmark for asset pricing than perfect constructions covering all and any existing risk factors which are relevant for an assets price formation.

Download or read book A Wealth of Common Sense written by Ben Carlson and published by John Wiley & Sons. This book was released on 2015-06-22 with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt: A simple guide to a smarter strategy for the individual investor A Wealth of Common Sense sheds a refreshing light on investing, and shows you how a simplicity-based framework can lead to better investment decisions. The financial market is a complex system, but that doesn't mean it requires a complex strategy; in fact, this false premise is the driving force behind many investors' market "mistakes." Information is important, but understanding and perspective are the keys to better decision-making. This book describes the proper way to view the markets and your portfolio, and show you the simple strategies that make investing more profitable, less confusing, and less time-consuming. Without the burden of short-term performance benchmarks, individual investors have the advantage of focusing on the long view, and the freedom to construct the kind of portfolio that will serve their investment goals best. This book proves how complex strategies essentially waste these advantages, and provides an alternative game plan for those ready to simplify. Complexity is often used as a mechanism for talking investors into unnecessary purchases, when all most need is a deeper understanding of conventional options. This book explains which issues you actually should pay attention to, and which ones are simply used for an illusion of intelligence and control. Keep up with—or beat—professional money managers Exploit stock market volatility to your utmost advantage Learn where advisors and consultants fit into smart strategy Build a portfolio that makes sense for your particular situation You don't have to outsmart the market if you can simply outperform it. Cut through the confusion and noise and focus on what actually matters. A Wealth of Common Sense clears the air, and gives you the insight you need to become a smarter, more successful investor.