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Peer Momentum
Misirli, Efdal; Scida, Daniela; Velikov, Mihail - 2021
Using recent advances in network theory, we estimate the intra-industry connectedness for US publicly traded companies going back to the 1920s. We develop a stock-level composite centrality measure that captures multiple dimensions of a stock's interdependence with its industry peers. Using our...
Persistent link: https://www.econbiz.de/10013221557
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Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics : Evidence from the Chinese stock market
Shi, Huai-Long; Zhou, Wei-Xing - 2021
This paper focuses on the horse race of weekly idiosyncratic momentum (IMOM) with respect to various idiosyncratic risk metrics. Using the A-share individual stocks in the Chinese market from January 1997 to December 2017, we first evaluate the performance of the weekly momentum and...
Persistent link: https://www.econbiz.de/10013225739
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An empirical analysis of the volatility spillover effect between world-leading and the Asian stock markets : implications for portfolio management
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 10/226, pp. 1-28
-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … the US and China to the Asian stock markets during the US financial crisis and the Chinese stock market crash, and the …. Additionally, volatility was transmitted from China to the majority of the Asian stock markets during the US financial crisis. The …
Persistent link: https://www.econbiz.de/10012388066
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Return and volatility transmission between world-leading and Latin American stock markets : portfolio implications
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 7/148, pp. 1-19
(USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of …, the results indicate a unidirectional return transmission from China to the Brazil, Chile, Mexico, and Peru stock markets … stock markets. Furthermore, the volatility spillover is unidirectional from China to the Brazil stock market during the …
Persistent link: https://www.econbiz.de/10012309325
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Information Content of Order Flow and Cross-Market Portfolio Rebalancing : Evidence for the Chinese Stock, Treasury and Corporate Bond Markets
Girardin, Eric - 2010
and Treasury bonds in China. With daily-aggregated tick-by-tick data over three years on the Shanghai Security Exchange …
Persistent link: https://www.econbiz.de/10013141987
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Is Factor Momentum More than Stock Momentum?
Falck, Antoine - 2020
Yes, but only at short lags. In this paper we investigate the relationship between factor momentum and stock momentum. Using a sample of 72 factors documented in the literature, we first replicate earlier findings that factor momentum exists and works both directionally and cross-sectionally. We...
Persistent link: https://www.econbiz.de/10012823617
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Trading Momentum : How Shares and Investors Behave During Momentum Periods
Della Vedova, Josh - 2016
In this paper we argue that momentum profits are driven by both past performance and the relative proximity to an available reference point, the 52-week high. We construct momentum-style portfolios that are driven strictly by past returns which we call ‘run' based measures, and compare these...
Persistent link: https://www.econbiz.de/10012984906
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Correlated information consumption and comovement in the stock market
Tan, Selin Duz - In: Borsa Istanbul Review 22 (2022) 4, pp. 812-827
This study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market outcomes. We construct clusters of stocks with CIC by employing network analysis on Google co-search data. We predict significant comovement in returns and liquidity of stocks...
Persistent link: https://www.econbiz.de/10013334839
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Comparison of multifactor asset pricing models in the South African stock market [2000-2016]
Mukoyi, Lenia; Kanayo, Ogujiuba - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-22
The quest for parsimonious models has been a key objective in asset pricing. However, there appears to be no consensus on the most successful asset pricing strategy in the literature, especially for the South African Market. Using financial statements from January 2000 to December 2015, this...
Persistent link: https://www.econbiz.de/10014301573
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Betting against beta (and gamma) using government bonds
Durham, J. Benson - 2015
Purportedly consistent with "risk parity" (RP) asset allocation, recent studies document compelling "low risk" trading strategies that exploit a persistently negative relation between Sharpe ratios (SRs) and maturity along the U.S. Treasury (UST) term structure. This paper extends this evidence...
Persistent link: https://www.econbiz.de/10010467093