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Profits from Underreactions and Overreactions : Price Momentum and Reversal in International Stock Markets

Chen, Chun-Yo; Ho, Hwai-Chung; Liu, Wen-Rang - 2023

This paper proposes a dynamic information diffusion model that explains the lead-lag reaction of stock prices resulting from the interaction of price trends and implied price risk (IPR). Consistent with our model's predictions, we construct a zero investment underreaction portfolio (overreaction...

Persistent link: https://www.econbiz.de/10014349889

Momentum Crashes and Variations to Market Liquidity

Butt, Hilal Anwar - 2019

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent … sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in … such that the contemporaneous increase in market liquidity predominantly sums up the trademark negative relationship …

Persistent link: https://www.econbiz.de/10012895183

International Diversification Benefits with Foreign Exchange Investment Styles

Kroencke, Tim Alexander - 2012

This paper studies portfolio choice with popular foreign exchange (FX) investment styles such as carry trades, FX momentum and FX value strategies. We go beyond the benefits from hedging to shed more light on the speculative component of currency investments. In particular, we are interested in...

Persistent link: https://www.econbiz.de/10013115027

International diversification benefits with foreign exchange investment styles

Kroencke, Tim-Alexander; Schindler, Felix; Schrimpf, Andreas - 2011

This paper provides a comprehensive analysis of portfolio choice with popular foreign exchange (FX) investment styles such as carry trades and strategies commonly known as FX momentum, and FX value. We investigate if diversification benefits can be achieved by style investing in FX markets...

Persistent link: https://www.econbiz.de/10008938019

Global Finance Liquidity Risk Revisited : Development of a Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant...

Malhotra, Yogesh - 2022

GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction … Liquidity Risk Revisited: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of … current relevance and interest in the ongoing state of Global Financial Markets wherein Liquidity Risk is playing a central …

Persistent link: https://www.econbiz.de/10013403261

The Size Effect in Value and Momentum Factors : Implications for the Cross-Section of International Stock Returns

Atanasov, Victoria - 2014

. Our results indicate the presence of funding liquidity risks related to the profitability of small firms and have …

Persistent link: https://www.econbiz.de/10013062272

The size effect in value and momentum factors : implications for the cross-section of international stock returns

Atanasov, Victoria; Nitschka, Thomas - 2013

accurate asset evaluations; (iv) funding liquidity risk is a partial explanation of these findings. …

Persistent link: https://www.econbiz.de/10010224775

A Reexamination of Corporate Governance and Equity Prices

Johnson, Shane A. - 2011

We reexamine long-term abnormal returns for portfolios sorted on governance characteristics. Firms with strong shareholder rights and firms with weak shareholder rights differ from the population of firms and from each other in how they cluster across industries. Using well-specified tests under...

Persistent link: https://www.econbiz.de/10013134103

Capital Share Risk in International Asset Pricing

Müller, Birgit - 2019

We study whether growth in the capital share (KS) of aggregate income (GDP) can explain equity portfolio returns in international stock markets as proposed by Lettau et al. (2019) for the U.S. market. We find that growth in local capital share has positive explanatory power for equity portfolio...

Persistent link: https://www.econbiz.de/10012862523

Is there Momentum in Factor Premia? Evidence from International Equity Markets

Zaremba, Adam - 2019

This study examines the momentum effect in the returns of factor premia representing a broad set of stock market strategies. Using cross-sectional and time-series tests, we investigate the performance persistence of market, value, size, momentum, low-risk, and quality premia within a sample of...

Persistent link: https://www.econbiz.de/10012893036