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Momentum Idiosyncratic Volatility And Market Dynamics
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Book Synopsis Momentum, Idiosyncratic Volatility and Market Dynamics by : Muhammad A. Cheema
Download or read book Momentum, Idiosyncratic Volatility and Market Dynamics written by Muhammad A. Cheema and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent evidence on the relation between momentum and idiosyncratic volatility (IV) in the U.S. is mixed. We verify the relation between momentum and IV in China and find at best, no relation supporting the view that idiosyncratic risk is not a significant arbitrage cost for momentum returns. While the absence of a positive relation between momentum returns and IV rejects both the underreaction and the overconfidence and self-attribution stories of momentum, we find support for the overconfidence and self-attribution story from our results on market dynamics and momentum. Our results are robust when verified in other Asian markets. We also find support for the suggestion that cross-country differences in momentum returns could be the result of differences in market dynamics rather than differences in levels of individualism as suggested earlier in the literature.
Book Synopsis Cross-Sectional and Time-Series Momentum Returns and Market Dynamics by : Muhammad A. Cheema
Download or read book Cross-Sectional and Time-Series Momentum Returns and Market Dynamics written by Muhammad A. Cheema and published by . This book was released on 2017 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We test the behavioural theories of overconfidence and underreaction on cross-sectional (CS) and times-series (TS) momentum returns in the Japanese stock markets. Both CS and TS momentum returns are large and significant when the market continues in the same state and turns into losses when the market transitions to another state, consistent with the overconfidence but not the underreaction model. We find that TS conditional momentum returns exceed conditional CS momentum returns because of its active position since TS takes a net long (short) position following UP (DN) markets while CS is a zero-cost strategy irrespective of the market state. Finally, we find no relation between idiosyncratic volatility and momentum returns which is not supportive of either the overconfidence or underreaction model but implies that idiosyncratic volatility is not a significant limit to arbitrage in Japan.
Book Synopsis Over Or Under? Momentum, Idiosyncratic Volatility and Overreaction by : Mahdi Heidari
Download or read book Over Or Under? Momentum, Idiosyncratic Volatility and Overreaction written by Mahdi Heidari and published by . This book was released on 2015 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several studies have attributed the high excess returns of the momentum strategy in the equity market to investor behavioral biases. However, whether momentum effects occur because of investor underreaction or because of investor overreaction remains a question. Using a simple model to illustrate the linkage between idiosyncratic volatility and investor overreaction as well as the stock turnover as another measure of overreaction, I present evidence that supports the investor overreaction explanation as the source of momentum effects. Furthermore, I show that when investor overreaction is low, momentum effects are more due to industries (industry momentum) rather than stocks.
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 Cross-sectional and Time-series Momentum Returns and Market Dynamics by : Muhammad A. Cheema
Download or read book Cross-sectional and Time-series Momentum Returns and Market Dynamics written by Muhammad A. Cheema and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "We search for differences in both unconditional and conditional momentum returns of Islamic and Non-Islamic stocks and test implications of competing behavioral theories that aim to explain momentum returns. Our results show that there is no significant difference in momentum returns between Islamic versus Non-Islamic stocks with respect to both cross-sectional (CS) and time-series (TS) momentum strategies even when we condition momentum returns on market dynamics, information uncertainty (IU), and idiosyncratic volatility (IV). We also find that the TS strategy outperforms (underperforms) the CS strategy in market continuations (transitions) consistent with the recent evidence in the U.S. market. Furthermore, we find that CS and TS strategies of both Islamic and Non-Islamic stocks are profitable only when the market continues in the same state consistent with overconfidence driving momentum returns of both Islamic and Non-Islamic stocks. Keywords:Islamic stocks, cross-sectional, time-series, momentum returns, market dynamics"--Page [ii].
Book Synopsis Empirical Asset Pricing by : Turan G. Bali
Download or read book Empirical Asset Pricing written by Turan G. Bali and published by John Wiley & Sons. This book was released on 2016-02-26 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: “Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.
Book Synopsis Cross-Sectional and Time-Series Momentum Returns by : Muhammad A. Cheema
Download or read book Cross-Sectional and Time-Series Momentum Returns written by Muhammad A. Cheema and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We search for differences in both unconditional and conditional momentum returns of Islamic and Non-Islamic stocks and test implications of competing behavioral theories that aim to explain momentum returns. Our results show that there is no significant difference in momentum returns between Islamic versus Non-Islamic stocks with respect to both cross-sectional (CS) and time-series (TS) momentum strategies even when we condition momentum returns on market dynamics, information uncertainty (IU), and idiosyncratic volatility (IV). We also find that the TS strategy outperforms (underperforms) the CS strategy in market continuations (transitions) consistent with the recent evidence in the U.S. market. Furthermore, we find that CS and TS strategies of both Islamic and Non-Islamic stocks are profitable only when the market continues in the same state consistent with overconfidence driving momentum returns of both Islamic and Non-Islamic stocks.
Book Synopsis Idiosyncratic Momentum and Option Markets by : Songchan Guo
Download or read book Idiosyncratic Momentum and Option Markets written by Songchan Guo and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines whether the idiosyncratic momentum strategy can generate excess returns following the emergence of traded options. Portfolios are formed based on past residuals of the Fama-French three factor model in idiosyncratic momentum, while those are formed based on past total returns in traditional momentum. We find that the idiosyncratic momentum profits show attenuation since options started trading in 1996. Our results show that momentum returns for stocks with options in idiosyncratic momentum are positive and significant for three, six, and twelve months following the formation date, while those for stocks with options in traditional momentum are insignificant or even turn to negative. We also find strong evidence that the enhanced information efficiency led by allowing short selling has more impact on traditional momentum returns than on idiosyncratic momentum returns. Overall, our results show that the idiosyncratic momentum strategy demonstrates an even bigger challenge to the conventional asset pricing literature.
Book Synopsis Momentum, Macroeconomic Variables, and Idiosyncratic Volatility by : Morgan Pauwels
Download or read book Momentum, Macroeconomic Variables, and Idiosyncratic Volatility written by Morgan Pauwels and published by . This book was released on 2013 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Price-Based Investment Strategies by : Adam Zaremba
Download or read book Price-Based Investment Strategies written by Adam Zaremba and published by Springer. This book was released on 2018-07-25 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.
Book Synopsis The impact of time-varying idiosyncratic risk and trading costs on momentum and value strategies by : Xiafei Li
Download or read book The impact of time-varying idiosyncratic risk and trading costs on momentum and value strategies written by Xiafei Li and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Investment Strategies in Emerging New Trends in Finance by : Reza Gharoie Ahangar
Download or read book Investment Strategies in Emerging New Trends in Finance written by Reza Gharoie Ahangar and published by BoD – Books on Demand. This book was released on 2021-04-14 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment and portfolio strategies are some of the most exciting topics in finance. This book presents the most up-to-date topics and techniques in finance to facilitate the investment process for researchers and investors in selecting appropriate investment strategies with the emergence of new issues and concepts in financial areas. This book contains nine chapters divided into three sections: The first section, “Investment and Portfolio Strategies,” discusses different investment strategies in portfolio selection. The second section, “Behavioral Finance and Investment Decisions,” examines the application of behavioral finance in investment decisions. The last section, “Emerging New Trends in Finance,” includes some new and interesting finance topics that can depict our vision for the future arena of finance.
Book Synopsis Risk and Return in Asian Emerging Markets by : N. Cakici
Download or read book Risk and Return in Asian Emerging Markets written by N. Cakici and published by Springer. This book was released on 2014-08-13 with total page 347 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk and Return in Asian Emerging Markets offers readers a firm insight into the risk and return characteristics of leading Asian emerging market participants by comparing and contrasting behavioral model variables with predictive forecasting methods.
Book Synopsis Patterns and Pricing of Idiosyncratic Volatility in French Stock Market by : Zhentao Liu
Download or read book Patterns and Pricing of Idiosyncratic Volatility in French Stock Market written by Zhentao Liu and published by . This book was released on 2017 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Purpose: The current research is to investigate the time series behavior of idiosyncratic volatility (IVOL) and its role in asset pricing in France in a twenty-year testing period. Design/methodology/approach: We test for the presence of trends in aggregate idiosyncratic and market volatility using Bunzel and Vogelsang's (2005) t-dan test. We follow Bekaert et al. (2012) to test for regime shifts of both aggregate idiosyncratic and market volatilities. And then, we employ portfolio level analysis and cross-sectional univariate Fama-MacBeth regressions to examine the relationship between IVOL and cross-sectional stock returns in French stock market.Findings: First, we find that both idiosyncratic and market volatility do not exhibit long-term trends. Instead, their patterns are consistent with regime switching behavior. Second, though we initially find a strong significant negative IVOL effect in the French stock market which is robust in bi-variate Fama-MacBeth regressions, the negative IVOL effect is becoming marginal significant when we control for SIZE, BM, momentum, and short-term reversal simultaneously. Our new evidence suggests that there is a marginal IVOL effect in the French stock market adding to the increasing number of studies questioning the ubiquity of the negative IVOL puzzle.Originality/value: First, we present the first empirical evidence on examining the trends of both aggregate idiosyncratic and market volatilities, and the pricing role of IVOL in French stock market. We draw an attention for both academia and practitioners on an individual developed stock market. Second, we add new evidence to the mounting results questioning the ubiquity of the IVOL effect. This highlights the importance of country verification of so called anomalies in the US, even in developed markets. Finally, we confirm earlier evidence both aggregate idiosyncratic and market volatilities in the French stock market exhibits regime switching behavior rather than showing a long-term time trends.
Book Synopsis Can Tail Risk Explain Size, Book-to-Market, Momentum, and Idiosyncratic Volatility Anomalies? by : Sofiane Aboura
Download or read book Can Tail Risk Explain Size, Book-to-Market, Momentum, and Idiosyncratic Volatility Anomalies? written by Sofiane Aboura and published by . This book was released on 2019 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the impact of tail risk on the return dynamics of size, book-to-market ratio, momentum, and idiosyncratic volatility sorted portfolios. Our time-series analyses document significant portfolio return exposures to aggregate tail risk. In particular, portfolios that contain small, value, high idiosyncratic volatility, and low momentum stocks exhibit negative and statistically significant tail risk betas. Our cross-sectional analyses at the individual stock level suggest that tail risk helps in explaining the four pricing anomalies, particularly size and idiosyncratic volatility anomalies.
Book Synopsis Financial Markets and the Real Economy by : John H. Cochrane
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
