Sökning: "momentum strategies"

Visar resultat 1 - 5 av 69 uppsatser innehållade orden momentum strategies.

  1. 1. 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 : MSc in Finance.... LÄS MER

  2. 2. Growth and Momentum - Rich and Richer : -A study on momentum and growth on the automotive Frankfurt stock market

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :Charlie Vindehall; David Eriksson; [2020]
    Nyckelord :Active investing; Growth; Momentum; Efficient Market hypothesis; German automotive sector; CAPM; Alpha; Sharpe ratio;

    Sammanfattning : Active management funds are associated with higher transaction costs, which is something that has been acknowledged for a long time. The question is whether these costs can compensate with a higher return. This paper investigates how two active strategies, momentum and growth investing, have performed in relation to a passive index. LÄS MER

  3. 3. Industry Anomalies: An examination of asset pricing anomalies through an industry-specific framework

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Kristiyan Denev; Aleksandar Strinic; [2020]
    Nyckelord :Industry returns; Asset pricing; Anomalies; Industry Factors; Investment strategies;

    Sammanfattning : The finance literature has discovered a large number of anomalies in the cross-section of stock returns over the past three decades. This thesis examines whether some of the most robust anomalies also appear within industries, and whether some are more prominent than others within specific industry sectors. LÄS MER

  4. 4. 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 : MSc in Finance.... LÄS MER

  5. 5. Utilizing Machine Learning for Trading Algorithms Exploiting the Time Series Momentum Anomaly

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Martin Odenbrand; Sebastian Svensson Bromert; [2019]
    Nyckelord :Machine learning; time series momentum; moving average crossover; MACD; Hodrick-Prescott filter; random forest; pricing anomaly; computational finance; Mathematics and Statistics;

    Sammanfattning : Momentum or trend following investing refers to trading strategies constructed around the idea that in financial markets, the current trend will, more often then not, prevail. In the context of asset prices, this means that previous returns or the price development of an asset is indicative of similar future returns and price development. LÄS MER