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 The Origin of Short Term Momentum Effects Profits written by Abdullah Ejaz and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In the field of financial literature, many scholars have tried to solve the riddle of origin of momentum profits. But results are so far mixed and not ultimate. The purpose of this paper is to find the origin of short term momentum effect. For this purpose, a new set of variables has been chosen that comes under the classification of "Business Proxies." Fourteen stock markets from around the globe have been chosen to find the origin. These markets are Argentina, Austria, Brazil, China, Chile, Greece, India, Italy, Ireland, Mexico, New Zealand, Pakistan, Turkey and the USA. It is found that, out of 4 independent variables, a variable SB (Starting a Business) has proved to be significant to explain the source of momentum whereas all other variables might or might not have influence over momentum profits.
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 Quantitative Momentum written by Wesley R. Gray and published by John Wiley & Sons. This book was released on 2016-09-13 with total page 206 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 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 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 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 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 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 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.
Download or read book Momentum is Really Short Term Momentum written by Qiang Gong and published by . This book was released on 2014 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: We demonstrate the estimation biases that arise when stock returns from 12 month prior and 2 month prior are included within intermediate and recent past momentum profits. These biases lead to an overestimation of intermediate past momentum but an underestimation of recent past momentum in the US market. There is no significant difference between the predictability of stock performance in the intermediate past and the recent past once we exclude these two months from the construction of momentum strategies in the US and each of the 26 major international markets.
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 Momentum Stock Selection written by Jacob Bernstein and published by McGraw-Hill Companies. This book was released on 2001 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: After a discussion that defines market timing and market momentum, the author details the using of momentum to trade effectively. Using examples and illustrations to emphasize key points, he explores such issues as accumulation and distribution patterns and buy and sell signals based on momentum.
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 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 Short term Momentum written by Mamdouh Medhat and published by . This book was released on 2021 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: We document a striking pattern in U.S. and international stock returns: Double sorting on last month's return and share turnover reveals significant short-term reversal among low-turnover stocks whereas high-turnover stocks exhibit short-term momentum. Short-term momentum is as profitable and as persistent as conventional price momentum. It also survives transaction costs and is strongest among the largest, most liquid, and most extensively covered stocks. Our results are difficult to reconcile with models imposing strict rationality but are suggestive of an explanation based on some traders underappreciating the information in prices.
Download or read book Short Term Momentum written by Nolan Kido and published by . This book was released on 2009 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance researchers have established a strict timeline in the relationship between previous returns and future returns. Over a short-term period-generally defined as shorter than three months-there exists a reversal effect by which stocks that exhibited positive (negative) returns in the past will experience negative (positive) returns in the near future. Over an intermediate-term period-generally defined as between three and twelve months-there exists a momentum effect whereby stocks that exhibited positive (negative) returns in the past will experience positive (negative) returns in the future.This paper provides two contributions to the literature on the momentum effect. First, I demonstrate that centering the measurement dates of prior returns around company-specific earnings announcement dates causes a short-term momentum effect rather than a reversal. Second, I show that the short-term momentum effect created by the centering process retains its explanatory power even in the face of post-earnings announcement drift.
