Similar Search Results

Puzzling premiums on FX markets : carry trade, momentum, and value alone and strategy diversification

Mikova, Evgeniya; Teplova, Tamara V.; Munir, Qaiser - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 1, pp. 126-148

Persistent link: https://www.econbiz.de/10012211227

The new finance : overreaction, complexity, and uniqueness

Haugen, Robert A. - 2004 - 3. ed.

Persistent link: https://www.econbiz.de/10001786555

Investor panic, IMF actions, and emerging stock market returns and volatility : a panel investigation

Hayo, Bernd; Kutan, Ali Mustafa - 2001

Persistent link: https://www.econbiz.de/10001660397

Momentum Crash Management

Heidari, Mahdi - 2015

Momentum is one of the largest and most pervasive market anomalies. However, despite a high mean and Sharpe ratio, momentum suffers from large negative skewness that comes from momentum crash periods. These crashes occur in times of both market stress and market rebound and thus variables that...

Persistent link: https://www.econbiz.de/10013026403

Financial Market Volatility, Macroeconomic Fundamentals and Investor Sentiment

Chiu, Ching-Wai (Jeremy) - 2016

In this paper, we investigate the dynamic relationship between financial market volatility, macroeconomic fundamentals … and investor sentiment, employing a two-factor model to decompose volatility into a persistent long-run component and a … aggregate demand and supply cause an increase in the persistent component of both stock and bond market volatility, and that …

Persistent link: https://www.econbiz.de/10012984721

The Profitability of Technical Stock Trading Has Moved from Daily To Intraday Data

Schulmeister, Stephan - 2021

This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. When based on daily data, the profitability of 2580 technical models has steadily declined since 1960, and has been unprofitable since .the early 1990s....

Persistent link: https://www.econbiz.de/10013226778

The Profitability of Technical Stock Trading has Moved from Daily to Intraday Data

Schulmeister, Stephan - 2010

This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. The former is exploited by trend-following models, while the latter by contrarian models. In total, the performance of 2580 widely used models is analyzed. When...

Persistent link: https://www.econbiz.de/10013135708

Aggregate Trading Behaviour of Technical Models and the Yen/Dollar Exchange Rate 1976-2007

Schulmeister, Stephan - 2010

The study analyses the interaction between the trading behaviour of 1,024 moving average and momentum models and the fluctuations of the yen-dollar exchange rate. I show first that these models would have exploited exchange rate trends quite profitably between 1976 and 2007. I then show that the...

Persistent link: https://www.econbiz.de/10013135725

Momentum Crashes

Daniel, Kent - 2011

market declines, when market volatility is high, and contemporaneous with market \rebounds." The low ex-ante expected returns …

Persistent link: https://www.econbiz.de/10013121260

Do Financial Planners Take Financial Crashes into their Advice : Dynamic Asset Allocation Under Thick Tails and Fast Volatility Updating

Telfah, Ahmad Ali - 2012

capture the actual behavior of those financial variables (like hyper volatility, the behavior of higher moments and leverage … volatility changes. Those additional hedging portfolios depend on the duration of the bond and the correlation between stock … returns and volatility processes, beside their dependence on the risk tolerance and investment horizon. The non …

Persistent link: https://www.econbiz.de/10013106259