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Risk-managed time-series momentum : an emerging economy experience

Simarjeet Singh; Walia, Nidhi; Bekiros, Stelios; Gupta, … - In: Journal of economics, finance & administrative science 27 (2022) 54, pp. 328-343

Purpose - This research study aims to design a novel risk-managed time-series momentum approach. The present study also examines the time-series momentum effect in the Indian equity market. Apart from this, the study also proposes a novel risk-managed time-series momentum approach....

Persistent link: https://www.econbiz.de/10014339133

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

Taming Momentum Crashes

Bianchi, Daniele; De Polis, Andrea; Petrella, Ivan - 2022

both conditional volatility and skewness. This has first order implications for managing risks associated with momentum … investing: an adjusted momentum portfolio which hedges in real time for both volatility and skewness risk outperforms benchmark … constant and dynamic volatility-managed momentum strategies. This result holds for different levels of transaction costs and …

Persistent link: https://www.econbiz.de/10013403316

Are Fund Managers Incentivised to Ignore Stock Market Jumps?

Chondrogiannis, Ilias; Freeman, Mark; Vivian, Andrew - 2022

In this paper, we show that the way in which fund managers are compensated can, under plausible conditions, lead them to act in a way that does not maximise the wellbeing of their clients. Due to performance bonuses in fund managers' rewards, there is a highly non-linear relationship between the...

Persistent link: https://www.econbiz.de/10013403270

Are Fund Managers Incentivised to Ignore Stock Market Jumps?

Chondrogiannis, Ilias; Freeman, Mark C.; Vivian, Andrew - 2023

Persistent link: https://www.econbiz.de/10014258544

Momentum Crash, Credit Risk and Optionality Effects in Bear Markets and Crisis Periods : Evidence from the US Stock Market

Grobys, Klaus - 2016

This study explores whether the credit risk anomaly exhibits option-like behavior similar to the momentum anomaly. Employing a market-timing regression model as in Daniel and Moskowitz (2013), it finds that the inverted credit risk spread indeed displays option-like behavior in bear market...

Persistent link: https://www.econbiz.de/10012996318

Another Look at Momentum Crashes : Momentum in the European Monetary Union

Grobys, Klaus - 2015

This paper studies the profitability of a selection of prominent momentum-based strategies in the European Monetary Union. In contrast to past examples documenting the lack of profitability of unconditional price momentum in the most recent decade, the current research finds that unconditional...

Persistent link: https://www.econbiz.de/10013028257

Risk-Managed 52-Week High Industry Momentum, Momentum Crashes, and Hedging Macroeconomic Risk

Grobys, Klaus - 2017

This is the first study to investigate the profitability of Barroso and Santa-Clara's (2015) risk-managing approach for George and Hwang's (2004) 52-week high momentum strategy in an industrial portfolio setting. The findings indicate that risk-managing adds value as the Sharpe ratio increases,...

Persistent link: https://www.econbiz.de/10012964844

Risk-Managed Industry Momentum and Momentum Crashes

Grobys, Klaus - 2017

benefits of risk management are robust across volatility estimators, momentum strategies and subsamples. Finally, the “echo …

Persistent link: https://www.econbiz.de/10012968047

Are Momentum Crashes Pervasive Regardless of Strategy? Evidence from the Foreign Exchange Market

Grobys, Klaus - 2016

This paper studies the option-like behavior of popular momentum strategies implemented in foreign exchange markets. The results confirm those of Daniel and Moskowitz (2013) in finding strong option-like behavior for both momentum measures, based on the cumulative return from 12 and 6 months...

Persistent link: https://www.econbiz.de/10012987786