Market momentum : theory and practice

Cover -- Title Page -- Copyright -- Contents -- Contributors -- Introduction -- CHAPTER 1 Behavioural Finance and Momentum -- 1.1 Introduction -- 1.2 The failure of risk‐based explanations -- 1.3 Behavioural models of momentum -- 1.4 Slow information diffusion -- 1.5 Patterns in information arrival -- 1.6 The 52‐week high and capital gains overhang -- 1.7 Institutional trading and momentum profits -- 1.8 Sentiment and momentum -- 1.9 Discussion -- References -- CHAPTER 2 A Taxonomy of Momentum Strategies -- 2.1 Introduction -- 2.2 Relative strength strategies -- 2.3 Time‐series momentum strategies -- 2.4 Cross‐sectional momentum strategies -- 2.5 Cross‐asset momentum -- References -- CHAPTER 3 Demystifying Time‐Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations -- 3.1 Data Description -- 3.2 Methodology -- 3.3 Turnover Reduction -- 3.4 The Recent Underperformance of Time‐series Momentum Strategies and the Effect of Pairwise Correlations -- 3.5 Trading Costs Implications -- 3.6 Concluding Remarks -- 3.6 Acknowledgements -- References -- CHAPTER 4 Risk and Return of Momentum in Developed Equity Markets -- 4.1 Introduction -- 4.2 Definition of momentum -- 4.3 Simple factor portfolios -- 4.4 Multifactor structure -- 4.5 Pure factor portfolios -- 4.6 Empirical results: momentum performance -- 4.7 Empirical results: momentum risk -- 4.8 Diversification benefits -- 4.9 Summary -- References -- CHAPTER 5 Momentum Across Asset Classes -- 5.1 Measuring momentum -- 5.2 Framework: equity momentum and corporate credit risk -- 5.3 Empirical studies: momentum and credit risk -- 5.4 Our research on equity momentum and bond returns -- 5.5 Geographically bound assets -- 5.6 Momentum in other illiquid assets -- 5.7 Cross‐asset class effects of commodities -- 5.8 Momentum effects and taxable investors.