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Crowded Trades, Short Covering, and Momentum Crashes

Yan, Philip - 2014

Despite momentum's strong historical performance, its returns have large negative skewness and occasionally experiences persistent strings of sharp negative returns, referred as "momentum crashes" in the recent literature. I argue that momentum crashes are due to crowded trades which push prices...

Persistent link: https://www.econbiz.de/10013057742

Sentiment and stock characteristics : comprehensive study of individual investor influence on returns, volatility, and trading volumes

Kresta, Aleš; Xiong, Jialei; Maidiya, Bahate - In: Business systems research : a system view accross … 15 (2024) 2, pp. 67-82

returns and a negative relationship with volatility and trading volume. Conclusions Our study contributes to understanding the …

Persistent link: https://www.econbiz.de/10015108409

Two Trees with Heterogeneous Beliefs : Spillover Effect of Disagreement

Han, Bing - 2017

In a model where investors disagree about the fundamentals of two stocks, the state price density depends on investor disagreements for both stocks, especially the larger stock. This implies that disagreement among investors in a large firm has a spillover effect on the pricing of other stocks...

Persistent link: https://www.econbiz.de/10012972769

Are Fund Managers Incentivised to Ignore Stock Market Jumps?

Chondrogiannis, Ilias; Freeman, Mark C.; Vivian, Andrew - 2023

In this paper, we show that the way in which fund managers are compensated can, under plausible conditions, lead them to act in a way that does not maximise the wellbeing of their clients. Due to performance bonuses in fund managers' rewards, there is a highly non-linear relationship between the...

Persistent link: https://www.econbiz.de/10014258544

Investors’ Financial Attention Frequency and Trading Activity

Cai, Wenwu - 2020

acquire financial information less frequently following periods of low market returns and high market volatility. In addition …

Persistent link: https://www.econbiz.de/10012847896

The VIX is Your FIX : a Flexible Strategy to Timing the Stock Market

Bonaparte, Yosef - 2020

We use the VIX and basic trading behavior to time entry and exit from the market. Our strategy captures 89% of the bottom and 91% from the top (you miss only 11% and 9% from the peak point, respectively). We lay our strategy down in six acts. Act I: the daily average return in the stock market...

Persistent link: https://www.econbiz.de/10012829277

Time Series Momentum and Reversal : Intraday Information from Realized Semivariance

Liu, Zhenya - 2020

The presence of time series momentum effect has been widely documented in the financial markets across asset classes and countries. We find a predictable pattern of the realized semi-variance to the future individual asset return, especially during the stressed states of time series momentum...

Persistent link: https://www.econbiz.de/10012836027

Are Investors Compensated for the Unit Shocks of Idiosyncratic Volatility

Yang, Haoxi - 2019

This study fi nds that a novel transformation of the idiosyncratic volatility (IVOL), the unit shocks of IVOL (US …

Persistent link: https://www.econbiz.de/10012901713

Trend Momentum II : Driving Forces of Low Volatility and Momentum

Berghorn, Wilhelm - 2018

important mathematical factor anomalies: low volatility and momentum. By applying an explicit trend model, we show that both …. Furthermore, the model allows us to describe how low volatility uses implicitly asymmetric trend characteristics while momentum … exponent in itself allows for a momentum strategy, and it can also be utilized to significantly improve low volatility …

Persistent link: https://www.econbiz.de/10012928032

Analysis of VIX Markets with a Time-Spread Portfolio

Papanicolaou, Andrew - 2017

This article explores the relationship between option markets for the S&P500 (SPX) and CBOE's Volatility Index (VIX … computed from SPX put options with different maturities, which results in a term structure for squared volatility. This term … is also used to measure volatility-of-volatility (vol-of-vol) and the volatility leverage effect. There may emerge small …

Persistent link: https://www.econbiz.de/10012971603