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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

Intra-Day Momentum

Komarov, Oleg - 2017

There is limited evidence of intraday predictability both in the cross-section of US stock returns (see Heston et al., 2010) and in the time-series of the aggregate stock market (see Gao et al., 2015). I find that statistical time-series predictability does not imply economic profitability,...

Persistent link: https://www.econbiz.de/10012964682

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

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

Momentum Crash, Credit Risk and Optionality Effects in Bear Markets and Crisis Periods : Evidence from the US Stock Market

Grobys, Klaus - 2016

This study explores whether the credit risk anomaly exhibits option-like behavior similar to the momentum anomaly. Employing a market-timing regression model as in Daniel and Moskowitz (2013), it finds that the inverted credit risk spread indeed displays option-like behavior in bear market...

Persistent link: https://www.econbiz.de/10012996318

Over or Under? Momentum, Idiosyncratic Volatility and Overreaction

Heidari, Mahdi - 2015

remains a question. Using a simple model to illustrate the linkage between idiosyncratic volatility and investor overreaction …

Persistent link: https://www.econbiz.de/10013012436

Factor Momentum, Investor Sentiment, and Option-Implied Volatility-Scaling

Rutanen, Jere; Grobys, Klaus - 2020

factors capture mispricing by being long on overpriced stocks and short on underpriced stocks. Option-implied volatility …

Persistent link: https://www.econbiz.de/10014098181