This paper examines the puzzlingly high unexploited momentum returns from a new perspective. We analyze characteristics of momentum traders in a sample of 692 fund managers. We find that momentum traders are 'defined' by their short-term horizon, by a behavioural view on the market and by a...

This research uses macro factors to explain four standard U.S. stock market risk premia, i.e. the market excess return (RM-RF), size (SMB), value (HML), and momentum (WML). We find in-sample predictive power of macro factors, in particular at a one-year horizon. Differentiating between bull and...

This paper provides evidence that informed traders dominate the response of limit-order submissions to shocks in a pure limit-order market. In the market we study, informed traders are highly sensitive to spreads, volatility, momentum and depth. By contrast, uninformed traders are relatively...

This paper provides evidence that informed traders dominate the response of limit-order submissions to shocks in a pure limit-order market. In the market we study, informed traders are highly sensitive to spreads, volatility, momentum and depth. By contrast, uninformed traders are relatively...

This study provides evidence from a questionnaire survey of fund managers. We find that the majority of respondents rely on momentum, contrarian and buy-&-hold strategies to some degree. Although there were few applicants who exclusively rely on a single trading strategy, clear preferences...

This paper examines the puzzlingly high unexploited momentum returns from a new perspective. We analyze characteristics of momentum traders in a sample of 692 fund managers. We find that momentum traders are 'defined' by their short-term horizon, by a behavioural view on the market and by a...

This paper examines the puzzlingly high unexploited momentum returns from a new perspective.We analyze characteristics of momentum traders in a sample of 692 fund managers. Wefind that momentum traders are “defined” by their short-term horizon, by a behavioural viewon the market and by a...

Der diesjährige Nobelpreis für Wirtschaftswissenschaften ist an drei Forscher "für ihre empirische Analyse von Vermögenspreisen" verliehen worden. Zwei der Laureaten haben ganz unterschiedliche Sichtweisen auf die Funktionsfähigkeit von Finanzmärkten: Während Fama die...

Der diesjährige Nobelpreis für Wirtschaftswissenschaften ist an drei Forscher "für ihre empirische Analyse von Vermögenspreisen" verliehen worden. Zwei der Laureaten haben ganz unterschiedliche Sichtweisen auf die Funktionsfähigkeit von Finanzmärkten: Während Fama die...