Showing 1 - 10 of 45
Recent literature shows that momentum strategies exhibit significant downside risks over certain periods, called “momentum crashes”. We find that high uncertainty of momentum strategy returns is sourced from the cross-sectional volatility of individual stocks. Stocks with high realised...
Persistent link: https://www.econbiz.de/10013312233
Persistent link: https://www.econbiz.de/10011983588
We compare the performance of two volatility scaling methods in momentum strategies: (i) the constant volatility scaling approach of Barroso and Santa-Clara (2015), and (ii) the dynamic volatility scaling method of Daniel and Moskowitz (2016). We perform momentum strategies based on these two...
Persistent link: https://www.econbiz.de/10012853381
Recent literature shows that momentum strategies exhibit significant downside risks over certain periods, or called "momentum crashes." We find that the high uncertainty of momentum strategies is sourced from the cross-sectional volatility of individual stocks. Stocks with high realised...
Persistent link: https://www.econbiz.de/10012841097
Persistent link: https://www.econbiz.de/10013543109
Persistent link: https://www.econbiz.de/10011344325
Persistent link: https://www.econbiz.de/10011974221
Persistent link: https://www.econbiz.de/10014490169
To capture the well documented time series momentum and reversal in asset price, we develop a continuous-time asset price model, derive the optimal investment strategy theoretically, and test the strategy empirically. We show that, by combining market fundamentals and timing opportunity with...
Persistent link: https://www.econbiz.de/10012962880
Persistent link: https://www.econbiz.de/10012417714