Narrow search
Showing 1 - 2 of 2
Cover Image
Momentum crashes
Daniel, Kent; Moskowitz, Tobias J. - 2013
Across numerous asset classes, momentum strategies have historically generated high Sharpe ratios and strong positive alphas relative to standard asset pricing models. However, the returns to momentum strategies are negatively skewed: they experience infrequent but strong and persistent strings...
Persistent link: https://www.econbiz.de/10010257503
Cover Image
Arbitrage crashes, financial accelerator, and sudden market freezes
Zhang, Ally Quan - 2017 - Last update: November 18, 2017, preliminary draft
arbitrage crashes and failure of systemically important intermediaries during the global financial crisis. Intermediaries pledge … productive capital as repo collateral to fund the margin for their arbitrage positions. A tiny drop in the market liquidity of … movements and losses. This further reduces the collateral value of arbitrage portfolios and triggers more fire-sales in both …
Persistent link: https://www.econbiz.de/10011875637