Essays about: "Winner and Loser portfolios"
Showing result 1 - 5 of 6 essays containing the words Winner and Loser portfolios.
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1. The Power of the Tides : A Quantitative Study Investigating the Momentum Strategy with 30 Industries
University essay from Jönköping University/IHH, FöretagsekonomiAbstract : Background: Buying past winners and selling past losers has historically generated both profits and losses. The momentum strategy has been researched with risk measures and portfolio creation as fundamental components. READ MORE
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2. 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
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3. Momentum Crashes in Sweden : NASDAQ OMX Stockholm from a Momentum Perspective
University essay from Umeå universitet/FöretagsekonomiAbstract : Momentum, or the basic idea of the momentum effect in finance, is that there is a tendency for rising asset prices to continue rising, while the falling prices continue to fall. As such, a momentum strategy is based on the idea that previous returns will predict future returns. READ MORE
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4. Can the Momentum Strategy be Improved by Adding a Risk Measure?
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : In this thesis it is tested if it is possible to gain momentum effects on a different type of evaluation and how momentum is affected when historical risk patterns are taken into account on Swedish data. The purpose of the thesis is to investigate whether an investor can generate higher momentum profits with lower risk if risk is included in the evaluation process. READ MORE
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5. Profitability of Momentum Strategies on the Eurozone Market
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This paper investigates the profitability of the zero-cost strategies (Winner-Loser) on the Eurozone market for the time period 1999-2009. We find that the Winner portfolio outperforms the Loser portfolio by, on average, 0,8% per month when we combine formation and holding periods of 3, 6, 9 and 12 months. READ MORE