Cross-Sectional and Time-Series Momentum Returns and Market Dynamics PDF Download
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Author: Muhammad A. Cheema
Publisher:
ISBN:
Category :
Languages : en
Pages : 33
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Book Description
We test the behavioural theories of overconfidence and underreaction on cross-sectional (CS) and times-series (TS) momentum returns in the Japanese stock markets. Both CS and TS momentum returns are large and significant when the market continues in the same state and turns into losses when the market transitions to another state, consistent with the overconfidence but not the underreaction model. We find that TS conditional momentum returns exceed conditional CS momentum returns because of its active position since TS takes a net long (short) position following UP (DN) markets while CS is a zero-cost strategy irrespective of the market state. Finally, we find no relation between idiosyncratic volatility and momentum returns which is not supportive of either the overconfidence or underreaction model but implies that idiosyncratic volatility is not a significant limit to arbitrage in Japan.
Author: Muhammad A. Cheema
Publisher:
ISBN:
Category :
Languages : en
Pages : 33
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Book Description
We test the behavioural theories of overconfidence and underreaction on cross-sectional (CS) and times-series (TS) momentum returns in the Japanese stock markets. Both CS and TS momentum returns are large and significant when the market continues in the same state and turns into losses when the market transitions to another state, consistent with the overconfidence but not the underreaction model. We find that TS conditional momentum returns exceed conditional CS momentum returns because of its active position since TS takes a net long (short) position following UP (DN) markets while CS is a zero-cost strategy irrespective of the market state. Finally, we find no relation between idiosyncratic volatility and momentum returns which is not supportive of either the overconfidence or underreaction model but implies that idiosyncratic volatility is not a significant limit to arbitrage in Japan.
Author: Muhammad A. Cheema
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
"We search for differences in both unconditional and conditional momentum returns of Islamic and Non-Islamic stocks and test implications of competing behavioral theories that aim to explain momentum returns. Our results show that there is no significant difference in momentum returns between Islamic versus Non-Islamic stocks with respect to both cross-sectional (CS) and time-series (TS) momentum strategies even when we condition momentum returns on market dynamics, information uncertainty (IU), and idiosyncratic volatility (IV). We also find that the TS strategy outperforms (underperforms) the CS strategy in market continuations (transitions) consistent with the recent evidence in the U.S. market. Furthermore, we find that CS and TS strategies of both Islamic and Non-Islamic stocks are profitable only when the market continues in the same state consistent with overconfidence driving momentum returns of both Islamic and Non-Islamic stocks. Keywords:Islamic stocks, cross-sectional, time-series, momentum returns, market dynamics"--Page [ii].
Author: Muhammad A. Cheema
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
We search for differences in both unconditional and conditional momentum returns of Islamic and Non-Islamic stocks and test implications of competing behavioral theories that aim to explain momentum returns. Our results show that there is no significant difference in momentum returns between Islamic versus Non-Islamic stocks with respect to both cross-sectional (CS) and time-series (TS) momentum strategies even when we condition momentum returns on market dynamics, information uncertainty (IU), and idiosyncratic volatility (IV). We also find that the TS strategy outperforms (underperforms) the CS strategy in market continuations (transitions) consistent with the recent evidence in the U.S. market. Furthermore, we find that CS and TS strategies of both Islamic and Non-Islamic stocks are profitable only when the market continues in the same state consistent with overconfidence driving momentum returns of both Islamic and Non-Islamic stocks.
Author: Muhammad A. Cheema
Publisher:
ISBN:
Category :
Languages : en
Pages : 13
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Book Description
Recent evidence on momentum returns shows that the time-series (TS) strategy outperforms the cross-sectional (CS) strategy. We present new evidence that this happens only when the market continues in the same state, UP or DOWN. In fact, we find that the TS strategy underperforms the CS strategy when the market transitions to a different state. Our results also show that the difference in momentum returns between TS and CS strategies is related to both the net long and net short positions of the TS strategy.
Author: Stephen Satchell
Publisher: John Wiley & Sons
ISBN: 1119599326
Category : Business & Economics
Languages : en
Pages : 448
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Book Description
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.
Author: Ian D'Souza
Publisher:
ISBN:
Category :
Languages : en
Pages : 53
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Book Description
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.
Author: Stephen Clapham
Publisher: Harriman House Limited
ISBN: 0857197037
Category : Business & Economics
Languages : en
Pages : 226
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Book Description
In The Smart Money Method, the stock-picking techniques used by top industry professionals are laid bare for investors. This is the inside track on how top hedge funds pick stocks and build portfolios to make outsize returns. Stephen Clapham is a retired hedge fund partner who now trains stock analysts at some of the world’s largest and most successful institutional investors. He explains step-by-step his research process for picking stocks and testing their market-beating potential. His methodology provides the tools and techniques to research new stock ideas, as well as maintain and eventually sell an investment. From testing your thesis and making investment decisions, to managing your portfolio and deciding when to buy and sell, The Smart Money Method covers everything you need to know to avoid common pitfalls and invest with confidence. Unique insight is presented in several specific areas, including how to: • Find stock ideas • Assess the quality of any business • Judge management’s ability • Identify shady accounting and avoid dying companies • Value any business to find bargain shares • Navigate the consequences of COVID-19 And throughout, there are real-life investing examples and war stories from a 25-year career in stock markets. The message is clear – you can beat the market. To do so, you need to learn and apply the insider secrets contained within this book.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Doron Avramov
Publisher:
ISBN:
Category :
Languages : en
Pages : 59
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Book Description
We develop a structural model where joint dynamics of aggregate consumption and asset-specific dividends are governed by correlated state-variables. The correlation structure implies distinct cross-sectional exposures of dividends to long history of consumption growth rates, resulting in variation of consumption beta. Such variation rationalizes momentum crashes per Daniel and Moskowitz (2015), as Winner's consumption beta remains low after the economy recovers from a downturn, while Loser's consumption beta grows quickly. Emerging from a recession, the momentum strategy thus reduces in consumption beta and risk-premia. Variation in beta also explains tendency of momentum to concentrate in stocks with particular styles.
Author: Robert A. Haugen
Publisher:
ISBN: 9780132775878
Category : Capital market
Languages : en
Pages : 141
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Book Description
A supplement for junior/senior and graduate level courses in Investments, Behavioral Finance Theory, and related courses. Teach the concepts that expose the inefficiency of capital markets. The New Finance is a comprehensive and organized collection of evidence and arguments that develop a persuasive case for an inefficient, complex and, at times, nearly chaotic stock market. This brief text also shows students how the complexity and uniqueness of investor interactions have important market pricing consequences. The fourth edition includes two new chapters on the real determinants of expected stock returns and the nature of stock volatility that the Financial Crisis of 2008 has exposed.
