Essays about: "Time series momentum"

Showing result 11 - 15 of 18 essays containing the words Time series momentum.

  1. 11. Risk Managed Time Series Momentum

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Sutian Ming; Richard Eidestedt; [2015]
    Keywords : momentum crash; time series momentum; time-varying risk; optionality;

    Abstract : This paper aims to investigate the crashes of time series momentum and to explore a systematic approach that mitigates the crashes of this strategy. Similar to cross-sectional momentum, time series momentum is also prone to severe drawdowns subsequent of a market decline when market volatility is high, contemporaneous with market reversals. READ MORE

  3. 12. A Sober Walk Down Wall Street, Risks and Benefits of a Trend Following Strategy

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Truls Stattin; Sofia Wärmlöf Helmrich; [2014]
    Keywords : Trend following; Time series momentum; Divergent trading strategy; Futures;

    Abstract : This thesis examines an investment strategy referred to as trend following. We construct a rule-based trading algorithm, built solely on past prices and volatility, aiming at capturing trends in futures markets. READ MORE

  4. 13. Credit, Liquidity and Emerging Market Risk in the Global Equity Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Dan-Alexandru Alexandru; Pavels Berezovskis; [2013]
    Keywords : Credit Risk; Liquidity Risk; Emerging Market Risk; Asset Pricing Model; Dynamic Orthogonalization;

    Abstract : We use data on 78 national market indices over 9 years and show that the world CAPM fails to explain stock market index excess returns both in time-series and in cross-section. We introduce credit, liquidity and emerging market factors and report that the performance of the pricing model is increased, with liquidity and emerging market contributing most. READ MORE

  5. 14. 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 ekonomi

    Author : Daniil Bargman; [2012]
    Keywords : downside risk; MLPM; Omega; co-skewness; co-kurtosis;

    Abstract : 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

  6. 15. 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 ekonomi

    Author : Adrian Imreorow; Oscar Schagerström; [2011]
    Keywords : housing capital asset pricing model; H-CAPM; housing market; house price returns; risk-return relationship;

    Abstract : 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