Essays about: "winner and loser portfolio"

Showing result 1 - 5 of 11 essays containing the words winner and loser portfolio.

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. The Effectiveness of Fundamental Analysis on Value Stocks – an Analysis of Piotroski’s F-score

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Staffan Bülow; [2017]
   Keywords : F-score; Fundamental Analysis; Value Stocks; Abnormal Returns; Market Efficiency; Behavioral Finance; Business and Economics;

   Abstract : In an efficient market, assets reflect all available information. Hence, investors cannot earn abnormal returns by conducting fundamental analysis since all financial data is impounded in the asset. The only way for an investor to earn higher returns is by incurring increased risk. READ MORE

5. 4. The profitability of momentum trading strategies: A comparisonbetween stock markets in the Netherlands and Germany

   University essay from Uppsala universitet/Företagsekonomiska institutionen

   Author : Oliver Weil; [2017]
   Keywords : Momentum; Efficient markets; The Efficient Market Hypothesis; Transaction costs JEL classifications: G10; G11; G14; G15; G19;

   Abstract : Can momentum trading strategies beat Dutch or German stock market indices? If so, dothose strategies show significant positive net returns? For the period from March 2009 to March 2016this appears to be the case for only one out of the nine momentum trading strategies investigated withrespect to the Dutch stock market and for none of those same momentum trading strategiesinvestigated with respect to the German stock market. Furthermore, this research finds that the netmomentum returns seem to be winner- instead of loser-portfolio driven and that the longer the holdingperiod, the higher the net momentum returns realized. READ MORE

6. 5. 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