Essays about: "Momentum Crashes"
Showing result 1 - 5 of 10 essays containing the words Momentum Crashes.
-
1. Predicting Equity Fund Returns: The Impact of the Momentum-Factor on Performance
University essay from KTH/Matematisk statistikAbstract : Momentum has been a persistent and robust factor in explaining excess future returns, generating great interest from investors and financial analysts. Following the financial crisis of 2008 and the Covid-19 pandemic, there have been instances of significant momentum crashes. READ MORE
-
2. Volatility-managed portfolios in the international markets
University essay from Stockholms universitet/FinansieringAbstract : Volatility-managed portfolios offer mixed returns in an international setting based on ex-ante information. The results of this paper further strengthen the theory that the variability of excess returns from volatility-management are more dependent on underlying investor strategy rather than differences of global markets. READ MORE
-
3. Avoiding crashes: Exploring risk-managed Momentum strategies
University essay from Lunds universitet/Företagsekonomiska institutionenAbstract : The momentum effect is a persistent and stable phenomenon, achieving very high abnormal returns, which could not yet be explained by conventional pricing models. However, this very high returns are punctuated by extreme strategy crashes leading to high losses, for which investors need decades to recover from. READ MORE
-
4. MERGING MOMENTUM -THE EFFECTS OF COMBINED CRASH MITIGATING STRATEGIES
University essay from Göteborgs universitet/Graduate SchoolAbstract : Momentum strategies offer tempting expected returns but suffer from occasional momentum crashes. Crash mitigating strategies, such as the Absolute momentum (Gulen and Petkova, 2018) and Extreme absolute strength momentum (Yang and Zhang, 2019), have proven effective in alleviating momentum crashes, while also offering better risk-adjusted returns compared to relative momentum strategies. READ MORE
-
5. ENHANCING MOMENTUM PROFITS THROUGH VOLATILITY TIMING AND COST MITIGATION TECHNIQUES
University essay from Göteborgs universitet/Graduate SchoolAbstract : Despite the high expected returns of the momentum strategy, there are two main problems associated with it: (i) infrequent but severe losses known as momentum crashes, and (ii) high transaction costs. In this paper, we address the first problem with volatility timing strategies developed by Daniel and Moskowitz (2016) and Moreira and Muir (2017). READ MORE