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Showing result 1 - 5 of 6 essays matching the above criteria.

  1. 1. The Power of the Tides : A Quantitative Study Investigating the Momentum Strategy with 30 Industries

    University essay from Jönköping University/IHH, Företagsekonomi

    Author : Oscar Estéen; Jonathan Landahl; Hugo Karlsson; [2023]
    Keywords : Momentum strategy; industry momentum; risk management; market anomalies; momentum investing; portfolio management;

    Abstract : 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

  3. 2. ENHANCING MOMENTUM PROFITS THROUGH VOLATILITY TIMING AND COST MITIGATION TECHNIQUES

    University essay from Göteborgs universitet/Graduate School

    Author : Nguyen Cao; Natalia Vdovina; [2019-07-02]
    Keywords : momentum; momentum strategy; momentum crash; volatility; transaction costs; turnover; return; volatility adjusted momentum; volatility timing;

    Abstract : 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

  4. 3. Momentum Crashes in Sweden : NASDAQ OMX Stockholm from a Momentum Perspective

    University essay from Umeå universitet/Företagsekonomi

    Author : Andreas Blackestam; Viktor Setterqvist; [2014]
    Keywords : momentum; momentum effect; momentum crashes; financial momentum; efficient market hypothesis;

    Abstract : 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

  5. 4. Can the Momentum Strategy be Improved by Adding a Risk Measure?

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Johanna Nyman; Jenny Siljeströmer; [2011]
    Keywords : Momentum; Value at risk; Risk evaluation; Double sorting; Sweden;

    Abstract : 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

  6. 5. Profitability of Momentum Strategies on the Eurozone Market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Andrei Sandu; Anastasia Korneva; [2009]
    Keywords : momentum; Winner and Loser portfolios; zero-investment strategy; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : 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