Market momentum : theory and practice /
"Broadly, financial market momentum occurs when past high returns are followed by subsequent high returns, while past low returns are similarly followed by subsequent low returns. It is claimed that the momentum phenomenon contravenes the Efficient Markets Hypothesis. Consequently, it has been...
| Main Authors: | , |
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| Format: | eBook |
| Language: | English |
| Published: |
Hoboken :
Wiley,
2021.
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| Edition: | First Edition. |
| Series: | Wiley finance series.
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| Subjects: | |
| Online Access: | Connect to the full text of this electronic book |
Table of Contents:
- Introduction / Andrew Grant and Steve Satchell
- Behavioural Finance and Momentum / Andrew Grant
- A Taxonomy of Momentum Strategies / Steve Satchell
- Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules, and Pairwise Correlations / Nick Baltas and Robert Kosowski
- Risk and Return of Momentum in Developed Equity Markets / Jose Menchero and Lei Ji
- Momentum across Asset Classes / Dan DiBartolomeo and Bill Zieff
- Momentum in Momentum ETFS / Katharina Schwaiger and Muhammad Massood
- CTA Momentum / Oliver Williams
- Overreaction and Faint Praise - Short-Term Momentum in Contemporary Art / Oliver Williams and Anders Pedersen
- Volatility Managed Momentum / Yang Gao
- Theoretical Analysis of the Fama-French Portfolios / Andrew Grant, Oh Kang Kwon, and Steve Satchell
- Exploiting the Countercyclical Properties of Momentum and other Factor Premia - A Cross-Country Perspective / Stefano Cavaglia, Vadim Moroz and Louis Scott
- Time Series Variation in Factor Premia: The influence of the business cycle / Christopher Polk, Mo Haghbin and Alessio de Longis
- Where Goes Momentum? / Ron Bird, Xiaojun (Kevin) Gao and Danny Yeung
- Time-series momentum in Credit: Machine learning approach / Shivam Ghosh, Steve Satchell and Nandini Srivastava
- Momentum and Business Cycles / Byoung-Kyu Min
- Momentum as a Fundamental Risk Factor / Chris Tinker
- Momentum, Value, and Carry Commodity Factors for Multi-Asset Portfolios / Stefano Cavaglia, Louis Scott, Kenneth Blay and Vincent de Martel.