Sökning: "momentum crashes"

Visar resultat 1 - 5 av 10 uppsatser innehållade orden momentum crashes.

  1. 1. Predicting Equity Fund Returns: The Impact of the Momentum-Factor on Performance

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Pontus Hovberger; Hugo Brunlid; [2023]
    Nyckelord :Equity Funds; Value; Growth; Momentum; Carhart Four-Factor Model; Multifactor Model; Momentum Crashes; Aktiefonder; Värdeaktier; Tillväxtaktier; Momentum; Carhart Four-Factor Model; Multifaktormodell; Momentumkrascher;

    Sammanfattning : Momentum has been a persistent and robust factor in explaining excess future returns, generating great interest from investors and financial analysts. Following the financial crisis of 2008 and the Covid-19 pandemic, there have been instances of significant momentum crashes. LÄS MER

  3. 2. Volatility-managed portfolios in the international markets

    Master-uppsats, Stockholms universitet/Finansiering

    Författare :Soroush Hasanpour; Emil Adamsson; [2022]
    Nyckelord :Financial Markets; Asset-pricing; asset pricing; Equity; Equity Markets; Volatility; Volatility-management; international markets; Volatility pricing; Pricing anomalies;

    Sammanfattning : Volatility-managed portfolios offer mixed returns in an international setting based on ex-ante information. The results of this paper further strengthen the theory that the variability of excess returns from volatility-management are more dependent on underlying investor strategy rather than differences of global markets. LÄS MER

  4. 3. Avoiding crashes: Exploring risk-managed Momentum strategies

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Jasmin Sunner; Marc Seppi; [2021]
    Nyckelord :momentum; risk-managed Momentum strategies; momentum crashes; Business and Economics;

    Sammanfattning : The momentum effect is a persistent and stable phenomenon, achieving very high abnormal returns, which could not yet be explained by conventional pricing models. However, this very high returns are punctuated by extreme strategy crashes leading to high losses, for which investors need decades to recover from. LÄS MER

  5. 4. MERGING MOMENTUM -THE EFFECTS OF COMBINED CRASH MITIGATING STRATEGIES

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Sebastian Kavleskog; John Rolfsson; [2020-07-07]
    Nyckelord :momentum; momentum strategies; merging momentum; momentum crash; dynamic momentum; absolute strength momentum; extreme absolute strength momentum; risk-adjusted return; crash mitigating momentum;

    Sammanfattning : Momentum strategies offer tempting expected returns but suffer from occasional momentum crashes. Crash mitigating strategies, such as the Absolute momentum (Gulen and Petkova, 2018) and Extreme absolute strength momentum (Yang and Zhang, 2019), have proven effective in alleviating momentum crashes, while also offering better risk-adjusted returns compared to relative momentum strategies. LÄS MER

  7. 5. ENHANCING MOMENTUM PROFITS THROUGH VOLATILITY TIMING AND COST MITIGATION TECHNIQUES

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Nguyen Cao; Natalia Vdovina; [2019-07-02]
    Nyckelord :momentum; momentum strategy; momentum crash; volatility; transaction costs; turnover; return; volatility adjusted momentum; volatility timing;

    Sammanfattning : Despite the high expected returns of the momentum strategy, there are two main problems associated with it: (i) infrequent but severe losses known as momentum crashes, and (ii) high transaction costs. In this paper, we address the first problem with volatility timing strategies developed by Daniel and Moskowitz (2016) and Moreira and Muir (2017). LÄS MER