Similar Search Results

Momentum: what do we know 30 years after Jegadeesh and Titman's seminal paper?

Wiest, Tobias - In: Financial markets and portfolio management 37 (2023) 1, pp. 95-114

Persistent link: https://www.econbiz.de/10014252609

Constant leverage covering strategy for equity momentum portfolio with transaction costs

Negrete, Mario Enrique - In: International Journal of Financial Studies : open … 12 (2024) 2, pp. 1-25

The Constant Leverage covering strategy for the equity momentum portfolio (CLvg) developed in this project cannot mask … better than the momentum portfolio. This approach is different from other covering strategies available in the literature … that focus on increasing the right tail of the momentum returns distribution at a faster rate than they increase the left …

Persistent link: https://www.econbiz.de/10014636284

Momentum and crash sensitivity

Ruenzi, Stefan; Weigert, Florian - 2017 - This version: December 2017

This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum … the USA from 1963 to 2012 reduces the momentum effect from a highly statistically significant 11.94% to an insignificant 1 ….84%. We find additional supportive out-of sample evidence for our risk-based momentum explanation in a sample of 23 …

Persistent link: https://www.econbiz.de/10011906204

Assessing asset pricing anomalies

Groot, Wilma de - 2017

Persistent link: https://www.econbiz.de/10011862366

Non-fundamental demand and style returns

Ben-David, Itzhak; Li, Jiacui; Rossi, Andrea; Song, Yang - 2020

We show that mutual fund ratings generate correlated demand that creates systematic price fluctuations. Mutual fund investors chase fund performance via Morningstar ratings. Until June 2002, funds pursuing the same investment style had highly correlated ratings. Therefore, rating-chasing...

Persistent link: https://www.econbiz.de/10012388379