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Momentum Reversal And The Trading Behaviors Of Institutions
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Book Synopsis Momentum, Reversal, and the Trading Behaviors of Institutions by : Roberto C. Gutierrez
Download or read book Momentum, Reversal, and the Trading Behaviors of Institutions written by Roberto C. Gutierrez and published by . This book was released on 2006 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: We identify two types of momenta in stock returns - one due to total returns and one due to firm-specific residual returns. Despite similar performances over the first year, these momentum portfolios perform dramatically differently beyond year one. Total-return momentum reverses strongly; residual momentum continues for years. This complexity in return momentum challenges the current theories of momentum. We propose that both momenta are consequences of agency issues in the money management industry and provide empirical support for this economic rationale of momentum in returns. Incentives induce institutions to chase total returns and to underreact to firm-specific news.
Book Synopsis Market Momentum by : Stephen Satchell
Download or read book Market Momentum written by Stephen Satchell and published by John Wiley & Sons. This book was released on 2020-12-02 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: A one-of-a-kind reference guide covering the behavioral and statistical explanations for market momentum and the implementation of momentum trading strategies Market Momentum: Theory and Practice is a thorough, how-to reference guide for a full range of financial professionals and students. It examines the behavioral and statistical causes of market momentum while also exploring the practical side of implementing related strategies. The phenomenon of momentum in finance occurs when past high returns are followed by subsequent high returns, and past low returns are followed by subsequent low returns. Market Momentum provides a detailed introduction to the financial topic, while examining existing literature. Recent academic and practitioner research is included, offering a more up-to-date perspective. What type of book is Market Momentum and how does it serve a range of readers’ interests and needs? A holistic market momentum guide for industry professionals, asset managers, risk managers, firm managers, plus hedge fund and commodity trading advisors Advanced text to help graduate students in finance, economics, and mathematics further develop their funds management skills Useful resource for financial practitioners who want to implement momentum trading strategies Reference book providing behavioral and statistical explanations for market momentum Due to claims that the phenomenon of momentum goes against the Efficient Markets Hypothesis, behavioral economists have studied the topic in-depth. However, many books published on the subject are written to provide advice on how to make money. In contrast, Market Momentum offers a comprehensive approach to the topic, which makes it a valuable resource for both investment professionals and higher-level finance students. The contributors address momentum theory and practice, while also offering trading strategies that practitioners can study.
Book Synopsis Quantitative Momentum by : Wesley R. Gray
Download or read book Quantitative Momentum written by Wesley R. Gray and published by John Wiley & Sons. This book was released on 2016-10-03 with total page 215 pages. Available in PDF, EPUB and Kindle. Book excerpt: The individual investor's comprehensive guide to momentum investing Quantitative Momentum brings momentum investing out of Wall Street and into the hands of individual investors. In his last book, Quantitative Value, author Wes Gray brought systematic value strategy from the hedge funds to the masses; in this book, he does the same for momentum investing, the system that has been shown to beat the market and regularly enriches the coffers of Wall Street's most sophisticated investors. First, you'll learn what momentum investing is not: it's not 'growth' investing, nor is it an esoteric academic concept. You may have seen it used for asset allocation, but this book details the ways in which momentum stands on its own as a stock selection strategy, and gives you the expert insight you need to make it work for you. You'll dig into its behavioral psychology roots, and discover the key tactics that are bringing both institutional and individual investors flocking into the momentum fold. Systematic investment strategies always seem to look good on paper, but many fall down in practice. Momentum investing is one of the few systematic strategies with legs, withstanding the test of time and the rigor of academic investigation. This book provides invaluable guidance on constructing your own momentum strategy from the ground up. Learn what momentum is and is not Discover how momentum can beat the market Take momentum beyond asset allocation into stock selection Access the tools that ease DIY implementation The large Wall Street hedge funds tend to portray themselves as the sophisticated elite, but momentum investing allows you to 'borrow' one of their top strategies to enrich your own portfolio. Quantitative Momentum is the individual investor's guide to boosting market success with a robust momentum strategy.
Book Synopsis Momentum and Reversal Dynamics by : James W. Kolari
Download or read book Momentum and Reversal Dynamics written by James W. Kolari and published by . This book was released on 2019 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the joint dynamics of momentum and reversal strategies in the U.S. stock market. Momentum investors face uncertainty about whether past patterns of price movements will continue (momentum) or reverse, thereby increasing volatilities of momentum returns and occasionally leading to momentum crashes. We find that the forces that drive reversal over momentum tend to be strong if losers' past return is extremely low in the time series or if losers are small and illiquid in the cross section. Consequently, we propose new risk-managed momentum strategies that take into account the behavioral divergence between momentum and reversal. Empirical tests for the U.S. stock markets in the sample period of 1947 to 2015 document that momentum strategies in which investors implement stop-trading rules if losers' past returns are extremely low as well as buy-small-loser rules substantially outperform traditional momentum strategies. Importantly, we find that the outperformance is mainly attributable to the increase in abnormal returns (or alpha) from various factor models.
Book Synopsis Understanding Momentum in Investment Technical Analysis by : Michael C. Thomsett
Download or read book Understanding Momentum in Investment Technical Analysis written by Michael C. Thomsett and published by Business Expert Press. This book was released on 2019-06-24 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explains and demonstrates the concept of momentum in chart analysis, which is of great interest to technical analysts. It includes complete explanations of overbought and oversold, where momentum fits in the broader science of technical analysis, and the importance of moving average crossover. Five major momentum oscillators are explained in depth: relative strength index, MACD, rate of change, stochastics, and Bollinger Bands. Finally, the book provides trading guidance based on momentum, involving coordination of oscillators with other indicators, reversal, and continuation signals. Momentum powerfully identifies the strength and speed of price movement. Through the use of index calculations, momentum is effective when used as a confirming indicator for other signals found in price, volume, or moving averages. Often overlooked by traders focused solely on price reversals or continuation signals, momentum provides a context to price behavior and to the price trend, and can vastly improves the timing of both entry and exit of trades.
Book Synopsis Momentum, Reversal, and Uninformed Traders in Laboratory Markets by : Robert J. Bloomfield
Download or read book Momentum, Reversal, and Uninformed Traders in Laboratory Markets written by Robert J. Bloomfield and published by . This book was released on 2009 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: We report the results of three experiments based on the model of Hong and Stein (1999). Consistent with the model, results show that when informed traders do not observe prices, uninformed traders generate long-term price reversals by engaging in momentum trade. However, when informed traders also observe prices, uninformed traders generate reversals by engaging in contrarian trading. Results suggest that a dominated information set is sufficient to account for the contrarian behavior observed among individual investors, and that uninformed traders may be responsible for long-term price reversals but play little role in driving short-term momentum.
Book Synopsis Anomalies at Any Time in Any Place? by : Fabio Braggion
Download or read book Anomalies at Any Time in Any Place? written by Fabio Braggion and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study equity markets between 1900 and 1925 to provide a pure out-of-sample test of three major asset pricing anomalies: momentum, long-term reversal, and size. We find strong evidence of momentum in almost every market. Momentum is a local phenomenon, as the returns of momentum long-short portfolios have low correlations across markets. We find no evidence of long-term reversals or size effects. In fact, large stocks slightly outperform small stocks in most markets. The presence of momentum, combined with the absence of long-term reversals, indicates that underreaction should be considered as a key aspect of behavioral theories of momentum.
Book Synopsis Risk-Return Relationship and Portfolio Management by : Raj S. Dhankar
Download or read book Risk-Return Relationship and Portfolio Management written by Raj S. Dhankar and published by Springer Nature. This book was released on 2019-10-24 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers all aspects of modern finance relating to portfolio theory and risk–return relationship, offering a comprehensive guide to the importance, measurement and application of the risk–return hypothesis in portfolio management. It is divided into five parts: Part I discusses the valuation of capital assets and presents various techniques and models used in this context. Part II then addresses market efficiency and capital market models, particularly focusing on measuring market efficiency, which is a crucial factor in making correct investment decisions. It also analyzes the major capital market models like CAPM and APT to determine to what extent they are suitable for use in developing economies. Part III highlights the significance of risk–return analysis as a prerequisite for investment decisions, while Part IV examines the selection and performance appraisals of portfolios against the backdrop of the risk–return relationship. It also examines new tools such as the value-at-risk application for mutual funds and the applications of the price-to-earnings ratio in portfolio performance measurement. Lastly, Part V explores contemporary issues in finance, including the relevance of Islamic finance in the increasingly volatile global financial system.
Book Synopsis Capital Markets and Investment Decision Making by : Raj S. Dhankar
Download or read book Capital Markets and Investment Decision Making written by Raj S. Dhankar and published by Springer. This book was released on 2019-04-25 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses capital markets and investment decision-making, focusing on the globalisation of the world economy. It presents empirically tested results from Indian and Southwest Asian stock markets and offers valuable insights into the working of Indian capital markets. The book is divided into four parts: the first part examines capital-market operations, particularly clearance and settlement processes, and stock market operations. The second part then addresses the functioning of global markets and investment decisions; more specifically it explores calendar anomalies, dependencies, overreaction effect, causality effect and stock returns volatility in South Asia, U.S. and global stock markets as a whole. Part three covers issues relating to capital structure, values of firm and investment strategies. Lastly, part four discusses emerging issues in finance like behavioral finance, Islamic finance, and international financial reporting standards. The book fills the gap in the existing finance literature and helps fund managers and individual investors make more accurate investment decisions.
Book Synopsis Momentum Stock Selection by : Jacob Bernstein
Download or read book Momentum Stock Selection written by Jacob Bernstein and published by McGraw-Hill Companies. This book was released on 2001 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: After a discussion that defines market timing and market momentum, the author details the using of momentum to trade effectively. Using examples and illustrations to emphasize key points, he explores such issues as accumulation and distribution patterns and buy and sell signals based on momentum.
Book Synopsis Nonlinear Statistical Models by : A. Ronald Gallant
Download or read book Nonlinear Statistical Models written by A. Ronald Gallant and published by John Wiley & Sons. This book was released on 1987-02-04 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt: Univariate nonlinear regression; Univariate nonlinear regression: special situations; A unified asymptotic theory of nonlinear models with regression structure; Univariate nonlinear regression: asymptotic theory; Multivariate nonlinear regression; Nonlinear simultaneus equations models; A unified asymptotic theory for dynamic nonlinear models.
Book Synopsis Private Equity by : Harold Kent Baker
Download or read book Private Equity written by Harold Kent Baker and published by . This book was released on 2015 with total page 623 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the past few decades, private equity (PE) has attracted considerable attention from investors, practitioners, and academicians. In fact, a substantial literature on PE has emerged. PE offers benefits for institutional and private wealth management clients including diversification and enhancement of risk-adjusted returns. However, several factors such as liquidity concerns, regulatory restrictions, and the lack of transparency limit the attractiveness of some PE options to investors. The latest volume in the Financial Markets and Investments Series, Private Equity: Opportunities and Risks offers a synthesis of the theoretical and empirical literature on PE in both emerging and developed markets. Editors H. Kent Baker, Greg Filbeck, Halil Kiymaz and their co-authors examine PE and provide important insights about topics such as major types of PE (venture capital, leveraged buyouts, mezzanine capital, and distressed debt investments), how PE works, performance and measurement, uses and structure, and trends in the market. Readers can gain an in-depth understanding about PE from academics and practitioners from around the world. Private Equity: Opportunities and Risks provides a fresh look at the intriguing yet complex subject of PE. A group of experts takes readers through the core topics and issues of PE, and also examines the latest trends and cutting-edge developments in the field. The coverage extends from discussing basic concepts and their application to increasingly complex and real-world situations. This new and intriguing examination of PE is essential reading for anyone hoping to gain a better understanding of PE, from seasoned professionals to those aspiring to enter the demanding world of finance.
Book Synopsis Are Institutions Momentum Traders? by : Timothy R. Burch
Download or read book Are Institutions Momentum Traders? written by Timothy R. Burch and published by . This book was released on 2002 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines institutional trading in momentum portfolios. The key result is that institutions engage in momentum trading over the subsequent 3 quarters, buying winners and selling losers, in response to past returns but not past earnings news. Momentum trading is strengthened, however, when returns are accompanied by earnings news of the same sign. While past high returns predict future institutional buying, past institutional buying does not predict future stock returns. Among institutions, investment advisors (e.g., mutual funds and brokerage firms) are the most active momentum traders; banks and insurance companies are the least active. Additional tests indicate that institutional momentum trading is concentrated among high volume winners and losers and among low B/M winners and high B/M losers.
Book Synopsis Momentum Trading by Institutions by : S.G. Badrinath
Download or read book Momentum Trading by Institutions written by S.G. Badrinath and published by . This book was released on 2003 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the quarterly holdings of all 13(f) institutions between the third quarter of 1987 and the third quarter of 1995 in approximately 3,800 firms. We analyze the trading patterns of institutions from two perspectives. First, we explore trading at the institution-level to detect portfolio shifts in response to current and past quarter returns. Second, we examine trading at the firm-level by aggregating the portfolio holdings of all reporting institutions in a given firm. We find weak evidence that institutions add to (reduce) their positions in a security after positive (negative) returns. We find stronger evidence that entry (exit) of new institutions into (out of) firms takes place after positive (negative) returns. This evidence of momentum trading at the institution-level, does not, however, translate into momentum trading at the firm-level; indeed, it appears that momentum trading by some institutions quot;cancels outquot; contrarian trading by other institutions.
Book Synopsis Reversal, Momentum and Intraday Returns by : Haoyu Xu
Download or read book Reversal, Momentum and Intraday Returns written by Haoyu Xu and published by . This book was released on 2017 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the trades immediately after the market open and immediately before the market close. The trades in the morning positively predict future returns and cause price continuation. The trades in the afternoon negatively predict future returns and cause price reversals. The momentum trading strategies based on morning returns and the reversal trading strategies based on afternoon returns generate significant abnormal returns, which cannot be explained by standard risk factors including momentum and reversal factors. The results provide strong evidence that trades in the morning are mostly information driven and trades in the afternoon are mostly liquidity driven.
Book Synopsis Momentum and Reversal in Financial Markets with Persistent Heterogeneity by : Giulio Bottazzi
Download or read book Momentum and Reversal in Financial Markets with Persistent Heterogeneity written by Giulio Bottazzi and published by . This book was released on 2018 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates whether short-term momentum and long-term reversal may emerge from the wealth reallocation process taking place in speculative markets. We assume that there are two classes of investors who trade long-lived assets by holding constantly rebalanced portfolios based on their beliefs. Provided beliefs, and thus portfolios, are sufficiently diversified, all investors survive in the long-run and, due to waves of mispricing, the resulting equilibrium returns exhibit long-term reversal. If, moreover, asset dividends are positively correlated, investors' profitable trades become positively correlated too, thus generating short-term momentum in equilibrium returns. We use the model to replicate the performance of the Winners and Losers portfolios highlighted by the empirical literature and to provide insights on how to improve upon them. Finally, we show that dividend positive autocorrelation is positively related to momentum and negatively related to reversal while diversity of beliefs is positively related to both momentum and reversal.
Book Synopsis Institutional Trading Momentum and Mispricing by : James Bulsiewicz
Download or read book Institutional Trading Momentum and Mispricing written by James Bulsiewicz and published by . This book was released on 2017 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: I investigate whether or not the multi-period trades of financial institutions cause mispricing in the stock market. After controlling for the magnitude and trends in institutional trades, I find evidence consistent with institutional trades pushing prices away from fundamentals. Stocks heavily traded by financial institutions over multiple periods subsequently experience a substantial reversal in both ownership and returns. Consistent with institutional trades impacting prices, this result is strongest within small and illiquid stocks. A long-short trading strategy designed to take advantage of this phenomenon earns a positive and statistically significant risk-adjusted return.
