Market Frictions, Momentum and Asset Pricing
Author: Lorenzo F. Naranjo
Publisher:
Published: 2009
Total Pages: 288
ISBN-13:
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Author: Lorenzo F. Naranjo
Publisher:
Published: 2009
Total Pages: 288
ISBN-13:
DOWNLOAD EBOOKAuthor: Hua He
Publisher:
Published: 1992
Total Pages: 23
ISBN-13:
DOWNLOAD EBOOKAuthor: Kazuhiro Hiraki
Publisher:
Published: 2019
Total Pages:
ISBN-13:
DOWNLOAD EBOOKAuthor: Jinfan Zhang
Publisher:
Published: 2013
Total Pages: 320
ISBN-13:
DOWNLOAD EBOOKAuthor: Jean-Pierre Danthine
Publisher:
Published: 1994
Total Pages: 52
ISBN-13:
DOWNLOAD EBOOKAuthor: Norman Seeger
Publisher:
Published: 2009
Total Pages: 157
ISBN-13:
DOWNLOAD EBOOKAuthor: Fabian Hertel
Publisher: GRIN Verlag
Published: 2022-03-21
Total Pages: 30
ISBN-13: 3346608794
DOWNLOAD EBOOKSeminar paper from the year 2021 in the subject Business economics - Investment and Finance, grade: 2,0, University of Münster, language: English, abstract: This paper discusses possible asset-specific and cross-asset explanation approaches for momentum appearance. The two main threads in literature, stock momentum and momentum of other assets, are discussed separately and subsequently checked for overlaps. The paper also deals with the definition of momentum as an anomaly itself in context of rational and behavioral concepts. It uncovers selected contrary observations and outlines possible conformities. Capital market anomalies are a phenomenon triggering ongoing debates about the trading behavior of investors on financial markets. They are contradicting the core ideas of the efficient market hypothesis (EMH), which considers financial markets efficient and investors rational and fully informed. One of the EMH key hypotheses, especially supported by Fama and by Samuelson, is the principle of random walk. If this principle holds, the prices of assets on financial markets are only influenced by public and firm-specific news, develop apart from that completely random and are not predictable. However, empirical observations question the random walk principle. They tend to indicate specific patterns in asset price developments instead of complete randomness. Doubts on the EMH and the random walk principle thus cannot be neglected. A common answer to these observations is the existence of additional risk factors which are currently not covered by the applied pricing models. Current asset pricing models mainly rely on Markowitz (1952) and the modern portfolio theory as well as on the Capital Asset Pricing Model (CAPM) from Sharpe (1964), Lintner (1965), and Mossin (1966). These models are rather a benchmark for asset pricing than perfect constructions covering all and any existing risk factors which are relevant for an assets price formation.
Author: Frans de Roon
Publisher:
Published: 2014
Total Pages: 32
ISBN-13:
DOWNLOAD EBOOKU.S. stock portfolios sorted on size, momentum, transaction costs, M/B, I/A and ROA ratios, and industry classification show considerable levels and variation of return predictability, inconsistent with asset pricing models. This means that a predictable risk premium is not equal to compensation for systematic risk as implied by asset pricing theory (Kirby 1998). We show that introducing market frictions relaxes these asset pricing moments from a strict equality to a range. Empirically, it is not short sales constraints but transaction costs (below 35 basis points) that help to reconcile the observed predictability with the Fama-French-Carhart four-factor model and the Chen-Novy-Marx-Zhang three factor model, and partly with the Durable Consumption model. Across the sorts, predictability in industry returns can be reconciled with all models considered with only 25 basis points transaction costs, whereas for momentum and ROA portfolios up to 115 basis points are needed.
Author: Stephen Satchell
Publisher: John Wiley & Sons
Published: 2020-12-02
Total Pages: 448
ISBN-13: 1119599326
DOWNLOAD EBOOKA 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.
Author: Ronnie Sadka
Publisher:
Published: 2003
Total Pages: 230
ISBN-13:
DOWNLOAD EBOOKThe objective of my dissertation is to investigate the relation between market frictions, such as liquidity, and expected returns. I focus on the stock momentum anomaly, which cannot be explained by the standard risk-based asset-pricing models to date.