We extend the classical "martingale-plus-noise" model for high-frequency prices by an error correction mechanism originating from prevailing mispricing. The speed of price reversal is a natural measure for informational efficiency. The strength of the price reversal relative to the...

This study provides evidence from a questionnaire survey of fund managers. We find that the majority of respondents rely on momentum, contrarian and buy-&-hold strategies to some degree. Although there were few applicants who exclusively rely on a single trading strategy, clear preferences...

Our questionnaire survey finds that most fund managers rely on the strategies of buy-&-hold, momentum and contrarian trading. These strategies are typically applied mutually. Their use is rooted in the attributes and beliefs of the respective fund managers: buy-&-hold traders behave...

The puzzling evidence of seemingly high momentum returns is related to an understanding of risk as a simple covariance. If we consider, however, risk in higher-order statistical moments, momentum returns appear less advantageous. Thus, a prospect-theoretical assessment of US stock momentum...

This paper examines the puzzlingly high unexploited momentum returns from a new perspective. We analyze characteristics of momentum traders in a sample of 692 fund managers. We find that momentum traders are 'defined' by their short-term horizon, by a behavioural view on the market and by a...

We propose a mathematical model of momentum risk-taking, which is essentially real-time risk management focused on short-term volatility. Its implementation, a fully automated momentum equity trading system, is systematically discussed in this paper. It proved to be successful in extensive...

Die Untersuchung widmet sich den Chancen auf Überrendite am deutschen Aktienmarkt seit 2002 unter Anwendung von klassischen Value- (KGV, KBV, KUV) und Growth-Strategien (Gewinnmarge, PEG, RS). Derartige Momentumstrategien widersprechen Effizienzkriterien, wenn sie erfolgreich sind. Märkte...