Similar Search Results

Accruals, Corporate Actions and Stock Returns

McDonald, Kirk F. - 2011

accrual-based trading strategies using the balance sheet method documented in Sloan (1996). This paper contributes to the … returns of acquiring firms given information regarding their accrual levels. A balance sheet based accrual hedge strategy … independent relationships exist between mergers and excess returns and that these effects ‘mix' with balance sheet based accrual …

Persistent link: https://www.econbiz.de/10013133888

A Model of Momentum

Liu, Laura Xiaolei - 2011

Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...

Persistent link: https://www.econbiz.de/10013132883

A Model of Momentum

Liu, Laura Xiaolei - 2012

We offer an investment-based interpretation of price and earnings momentum. The neoclassical theory of investment implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and...

Persistent link: https://www.econbiz.de/10013115136

Momentum

Jegadeesh, Narasimhan - 2011

There is substantial evidence that indicates that stocks that perform the best (worst) over a three to 12 month period tend to continue to perform well (poorly) over the subsequent three to 12 months. Up until recently, trading strategies that exploit this phenomenon were consistently profitable...

Persistent link: https://www.econbiz.de/10013120998

Has Momentum Lost Its Momentum?

Bhattacharya, Debarati - 2019

We evaluate the robustness of momentum returns in the US stock market over the period 1965 to 2012. We find that momentum profits have become insignificant since the late 1990s partially driven by pronounced increase in the volatility of momentum profits in the last 14 years. Investigations of...

Persistent link: https://www.econbiz.de/10012903263

Has Momentum Lost Its Momentum?

Bhattacharya, Debarati - 2018

We evaluate the robustness of momentum returns in the US stock market over the period 1965 to 2012. We find that momentum profits have become insignificant since the late 1990s. Investigations of momentum profits in high and low volatility months address the concerns about unprecedented levels...

Persistent link: https://www.econbiz.de/10012912137

Alpha Momentum and Price Momentum

Hühn, Hannah - 2018

We analyze a novel alpha momentum strategy that invests in stocks based on three-factor alphas which we estimate using daily returns. The empirical analysis for the U.S. and for Europe shows that i) past alpha has power in predicting the cross-section of stock returns, ii) alpha momentum...

Persistent link: https://www.econbiz.de/10012938442

Boosting Momentum

Kaufmann, Hendrik - 2020

Machine learning techniques have gained enormously in popularity in recent years, but so far only to a very limited extent in fixed income research. In this paper we therefore like to do some pioneering work and apply Boosted Regression Trees to Equity Momentum in the corporate bond market. We...

Persistent link: https://www.econbiz.de/10012826311

Decomposing Momentum Spread

Guo, James Tengyu - 2019

Since momentum arbitrage activity, buying winners and selling losers, effectively enlarges the return spread between these two groups, I find that the momentum spread (the difference of the formation-period recent 6-month returns between winners and losers) negatively predicts future momentum...

Persistent link: https://www.econbiz.de/10012870782

Optimality of Momentum and Reversal

He, Xuezhong - 2016

We develop a continuous-time asset price model to capture short-run momentum and long-run reversal. By studying a dynamic asset allocation problem, we derive the optimal investment strategy in closed form and show that the combined momentum and reversal strategies are optimal. We then estimate...

Persistent link: https://www.econbiz.de/10013006175

1
2
3
4
5
6
7
8
9
10
Next
Last