Essays about: "Idiosyncratic Momentum"
Found 4 essays containing the words Idiosyncratic Momentum.
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1. Enhanced Risk-Adjusted Returns Through Momentum Adaptations - Analysis on Momentum Strategies in the Nordic Stock Market
University essay from Göteborgs universitet/Graduate SchoolAbstract : Momentum strategies where one buys past winners and sells past losers are one of the most persistent stock market anomalies, showcasing abnormal returns across different markets, asset classes and time periods. Nevertheless, price momentum has been shown by the financial literature to possess considerable hazards, such as high volatility and crash risks. READ MORE
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2. The Performance of Stocks Earning Extreme Single-Day Returns: Evidence from Sweden
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : In 2011, Bali et al. presented evidence that stocks with extreme one and multi day-returns significantly underperform stocks with less extreme returns in the following month. They attributed this to investors exhibiting a preference for stocks with lottery-like payoffs. READ MORE
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3. Think on the Downside: Multifactor asset pricing models based on downside risk and their performance relative to the CAPM, FF3F and Momentum
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This paper introduces two new measures of asset performance in a downside risk--reward framework. The first measure, Omega--H, is an extension of the Omega ratio from Keating and Shadwick (2002a) that captures an asset's idiosyncratic downside risk and upside potential. READ MORE
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4. A study of the risk-return relationship in the Swedish housing market: evidence from an H-CAPM model
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This paper investigates the risk-return relationship in the Swedish housing market by testing a housing capital asset pricing model (H-CAPM). The model is applied on one- and two-dwelling houses for permanent living in 238 municipalities between 1982 and 2009. READ MORE