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Modeling momentum and reversals
Stein, Harvey J.; Pozharny, Jacob - In: Risks : open access journal 10 (2022) 10, pp. 1-10
observed to exhibit short term price reversals and long term momentum, while their industries only exhibit momentum. Here we …
Persistent link: https://www.econbiz.de/10013555665
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Risk assessment of generation investment
Su, J; Wu, FF - 2005
This paper proposes an improved approach to risk assessment of generation investment in the new deregulated environment using the option pricing theory. A more realistic model for electricity price in the application of real option pricing method for generation asset valuation is proposed, which...
Persistent link: https://www.econbiz.de/10009471372
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Leveraged Investments and Agency Conflicts When Prices Are Mean Reverting
Glover, Kristoffer; Hambusch, Gerhard - Finance Discipline Group, Business School - 2012
We analyse the effect of differing uncertainty assumptions on the costs of shareholder-bondholder conflicts arising from partially debt-financed investments. A partial equilibrium model, valid for a large class of diffusion processes, is developed and then applied to the specific cases of a...
Persistent link: https://www.econbiz.de/10010883495
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Momentum and mean reversion in regional housing markets: Evidence from variance ratio tests
Oikarinen, Elias - 2010
do not follow random walk in any of the 15 Finnish cities included in the analysis. Instead, momentum in housing price … movements. The results also show that the momentum and reversion patterns may substantially vary between regional housing …
Persistent link: https://www.econbiz.de/10012503015
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Combining Mean Reversion and Momentum Trading Strategies in Foreign Exchange Markets
Serban, Alina - Department of Economics, College of Business and Economics - 2009
The literature on equity markets documents the existence of mean reversion and momentum phenomena. Researchers in … foreign exchange markets find that foreign exchange rates also display behaviors akin to momentum and mean reversion. This … paper implements a trading strategy combining mean reversion and momentum in foreign exchange markets. The strategy was …
Persistent link: https://www.econbiz.de/10008509473
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Momentum and mean reversion in regional housing markets: Evidence from variance ratio tests
Oikarinen, Elias - Turun Kauppakorkeakoulu, Turun Yliopisto - 2010
do not follow random walk in any of the 15 Finnish cities included in the analysis. Instead, momentum in housing price … movements. The results also show that the momentum and reversion patterns may substantially vary between regional housing …
Persistent link: https://www.econbiz.de/10008773956
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To phase or not to phase : quantifying the effect of phasing construction projects
Collan, Mikael; Savolainen, Jyrki - In: Nordic journal of business : NJB 69 (2020) 1, pp. 68-90
Persistent link: https://www.econbiz.de/10012305148
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The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation
Clare, Andrew; Seaton, James; Smith, Peter N.; Thomas, … - Department of Economics and Related Studies, University … - 2012
parity. Momentum and trend following have often been used interchangeably although the former is a relative concept and the … latter absolute. By combining the two we find that one can achieve the higher return levels associated with momentum …
Persistent link: https://www.econbiz.de/10010630694
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The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation
Clare, Andrew; Seaton, James; Smith, Peter N.; Thomas, … - Crawford School of Public Policy, Australian National … - 2013
parity. Momentum and trend following have often been used interchangeably although the former is a relative concept and the … latter absolute. By combining the two we find that one can achieve the higher return levels associated with momentum …
Persistent link: https://www.econbiz.de/10011186017
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Some Time Serial Properties of the Swedish Real Estate Stock Market, 1939-1998
Graflund, Andreas - 2001
This paper investigates the information in monthly nominal Swedish real estate stock market returns from 1939-1998. Thus we test the weak form efficient market hypothesis. Our results contradict previous findings from the general Swedish stock market as we find very little evidence of seasonal...
Persistent link: https://www.econbiz.de/10013208419