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The Best of Strategies for the Worst of Times
Stephen Haggard , Xuemin Yan. Momentum returns in Australian equities : the influences of size, risk, liquidity and return computation Isabelle Demir , J. Muthuswamy , Terry S.
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Profitability of Momentum Strategies : An Evaluation of Alternative Explanations
A unified theory of underreaction, momentum trading and overreaction in asset markets. Do industries explain momentum Tobias J. Moskowitz , Mark Grinblatt.
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The sample size is small, but even taking the broader US mutual fund universe and screening for those that exhibit momentum strategy tendencies shows widespread underperformance. Momentum investing faces big questions. During both periods, the momentum strategy generated positive, abnormal returns but exposed investors to occasional sharp losses or "crashes" The excess return associated with momentum trading averaged roughly 1 percent per month between and , and 0.
Momentum trading, return chasing, and predictable crashes. They concluded that having a momentum strategy will profit the speculators at the expense of the hedgers.
Momentum Strategy financial definition of Momentum Strategy
Time-series momentum trading strategies in the global stock market. Rouwenhorst also implemented momentum strategy in 12 developed countries of Europe and found that short-term momentum effect existed in all 12 stock markets and it is profitable. Short-term momentum effect: a case of middle east stock markets. They analyze a momentum strategy with a lagged six-month ranking period and a subsequent one-month holding period, and find that the strategy's risk-adjusted performance improves when they take into account the dynamic factor loadings.
Market cycles and the performance of relative strength strategies. Understanding the profitability of currency-trading strategies. Informacao endogena, caracterizacao do risco e retornos de acoes variantes no tempo. In each month t, momentum strategy buys the winner portfolio and holds this position for K months following the ranking month, for example, month 1 to month 6, if K is defined as six K6.