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Time-series and cross-sectional momentum and contrarian strategies within the commodity futures markets
Rosales, Enrique Benavides - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-32
The aim within this paper is to analyze the difference between momentum and contrarian portfolios constructed under the … cross-sectional and time-series analysis, within the commodity futures markets. The returns indicate that the contrarian … findings suggest that, for the contrarian portfolios, the results are stronger during the pre-crisis period, although during …
Persistent link: https://www.econbiz.de/10011988761
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Tests of the overreaction hypothesis and the timing of mean reversals on the JSE Securities Exchange (JSE): The case of South Africa
Hsieh, Heng-hsing; Hodnett, Kathleen - In: Journal of Applied Finance & Banking 1 (2011) 1, pp. 107-130
cycle. Study results also suggest that contrarian investing could be a safe haven during the financial market turmoil due to …
Persistent link: https://www.econbiz.de/10010277140
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Black Monday, globalization and trading behavior of stock investors
Kurz-Kim, Jeong-Ryeol - 2016
investors behaved more as in the momentum strategy; and after Black Monday more as in the contrarian strategy. We argue that …
Persistent link: https://www.econbiz.de/10011487137
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Short-term price overreaction: Identification, testing, exploitation
Caporale, Guglielmo Maria; Gil-Alana, Luis; Plastun, Alex - 2014
This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an "inertia anomaly", i.e. after an...
Persistent link: https://www.econbiz.de/10010435314
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Short-Term Price Overreactions: Identification, Testing, Exploitation
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Plastun, Alex - 2014
This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an "inertia anomaly", i.e. after an...
Persistent link: https://www.econbiz.de/10010435765
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Long-term price overreactions: Are markets enefficient?
Caporale, Guglielmo Maria; Gil-Alana, Luis; Plastun, Alex - 2015
This paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX). First, t-tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to test the profitability of two alternative...
Persistent link: https://www.econbiz.de/10010464626
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Dynamic trading and asset prices : Keynes vs. Hayek
Cespa, Giovanni; Vives, Xavier - 2009
term prospects and those only." The analysis explains accommodation and trend chasing strategies as well as momentum and …
Persistent link: https://www.econbiz.de/10010272747
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Dynamic delegation with a persistent state
Chen, Yi - In: Theoretical Economics 17 (2022) 4, pp. 1589-1618
In this paper, I study the dynamic delegation problem in a principal-agent model wherein an agent privately observes a persistently evolving state, and the principal commits to actions based on the agent's reported state. There are no transfers. While the agent has state-independent preferences,...
Persistent link: https://www.econbiz.de/10014536863
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Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - 2011
Substanzprämie (Value Premium) und eine signifikant positive Momentumprämie (Momentum Premium). Zweitens zeigen sich alle vier … significant positive value premium and a significant positive momentum premium. Second, the correlation within all four risk …
Persistent link: https://www.econbiz.de/10010307494
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Empirical risk factors in realized stock returns
Novák, Jiří; Petr, Dalibor - 2009
Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price the assets or to determine the cost of...
Persistent link: https://www.econbiz.de/10010322253