The Momentum Effect on Stock Markets
Author: Fabian Leonhardt
Publisher:
Published: 2011
Total Pages: 122
ISBN-13:
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Momentum Around the Globe. The Pervasiveness of the Momentum Effect in Relative Stock Performance
Author: Andra Musat
Publisher: GRIN Verlag
Published: 2015-06-10
Total Pages: 22
ISBN-13: 3656976724
DOWNLOAD EBOOKSeminar paper from the year 2015 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 2,0, University of Mannheim, course: Behavioral Finance, language: English, abstract: Extensive research has been dedicated to the momentum effect in the past two decades since it was first documented in 1993 by Jegadeesh and Titman. Put simply, momentum can be understood as persistence in relative stock performance: stocks which have performed well over the past three to twelve months continue to outperform stocks which have performed poorly over the next three to twelve months. The aim of this paper is to gather, compare and evaluate the available evidence so far to show that momentum is effective globally, with a focus on analyzing co-movement. Besides the geographical dimension, the paper will also look at the extent to which profitable momentum returns are prevalent in time and are not only confined to stocks, but are characteristic for much more asset classes. As such, the main contribution of the paper is the brief analysis of the pervasiveness of the momentum effect along three dimensions: geographical, temporal and across asset classes.
Market Momentum
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.
The Momentum Effect & Stock Markets
Author: Ahsan Zubair
Publisher: LAP Lambert Academic Publishing
Published: 2015-03-03
Total Pages: 80
ISBN-13: 9783659428166
DOWNLOAD EBOOKTraditional finance theory states that predictability of future stock prices and abnormal profit based on the trading strategies are impossible. But, a number of researchers during 1980's document that stock prices are predictable based on their past returns. In 1993, Jegadeesh and Titman discover medium term momentum in stock prices where past winners continue to outperform past losers by around 1% per month over the period of 3 to 12 months. After that numerous studies document that the momentum effect is a worldwide phenomenon. From different possible explanations of the momentum effect, it seems that neither risk related explanation nor data snooping and flawed methodology is able to provide widely excepted explanation of the phenomenon. The behavioural finance theory with the help of some models, however, appears to provide the best explanations for the momentum effect. These behavioural models are too many and none of these models is superior among others because each model individually contributes to explaining the momentum effect in different markets or different stock types.
The Momentum Effect on Stock Markets
Author: Maria Eslykke Søndergaard
Publisher:
Published: 2010
Total Pages: 97
ISBN-13:
DOWNLOAD EBOOKDifferent investor types, thus appear to provide the best explanations for the momentum phenomenon. The behavioural models are, however, many and no single model is found to be superior. One possibility could be that all the models individually contribute to explaining the momentum effect, but that different models turn out to be superior in different markets or different types of stocks. This hypothesis, however, remains to be tested.
Momentum and Overreaction Effect a Study of Indian Stock Market
Author: Maheshwari Supriya
Publisher: Independent Author
Published: 2022-12-03
Total Pages: 0
ISBN-13: 9781805451044
DOWNLOAD EBOOKThe search and investigation of stock market anomalies have always been a popular area of research among the academicians. The Efficient Market Hypothesis (EMH) that was once very well accepted and adored the most dominant place in the traditional finance theories, somehow, in recent times, the validity of the same has been questioned. The evidence of various stock market anomalies that document excess profit making opportunities resulted in critical re-examination of EMH. Probably the two most famous anomalies that have attracted the interest of both academicians and practitioners are the ones that are based on stocks return continuation (known as momentum effect) and long-term stock returns reversal (known as overreaction effect). Ever since DeBondt and Thaler (1985) and Jegadeesh and Titman (1993) drew attention towards the overreaction and momentum effect, these have remained as some of the most hotly debated anomalies in the academic literature. The investment strategies based on such continuation and long-term return reversal effects are commonly known as momentum and contrarian strategies, respectively. Both momentum and long-term reversal effect were found to persist in a majority of the out-of-sample tests using data from the U.S. as well as other developed stock markets across different time periods. Initially, most of the early investigations were based on the U.S. stock market, but gradually the investigation for the same spread out internationally to other developed stock markets. As a result, there exists a vast majority of literature supporting momentum and contrarian profitability in majority of the developed markets.
Behavioral Finance
Author: Lucy F. Ackert
Publisher: South Western Educational Publishing
Published: 2010
Total Pages: 0
ISBN-13: 9780538752862
DOWNLOAD EBOOKThe book begins by building upon the established, conventional principles of finance that you've have already learned in your principles course. The authors then move into psychological principles of behavioral finance, including heuristics and biases, overconfidence, emotion and social forces. You immediately see how human behavior influences the decisions of individual investors and professional finance practitioners, managers, and markets. You also gain a strong understanding of how social forces impact individuals' choices. The book clearly explains what behavioral finance indicates about observed market outcomes as well as how psychological biases potentially impact the behavior of managers. The book's solid academic approach provides opportunities for you to utilize theory and complete applications in every chapter as you learn the implications of behavioral finance on retirement, pensions, education, debiasing, and client management. The book spends a significant amount of time examining how today's practitioners can use behavioral finance to further their professional success.
Price-Based Investment Strategies
Author: Adam Zaremba
Publisher: Springer
Published: 2018-07-25
Total Pages: 325
ISBN-13: 3319915304
DOWNLOAD EBOOKThis 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.
Evaluation of the Momentum Strategy on the German Stock Exchange
Author: Eugen Stumpf
Publisher: GRIN Verlag
Published: 2013-07-26
Total Pages: 98
ISBN-13: 3656469709
DOWNLOAD EBOOKMaster's Thesis from the year 2013 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1.3, University of Applied Sciences Essen, language: English, abstract: This work covers the momentum effect on financial markets and a trading strategy based on this effect. The research focuses on the German Stock Exchange data from the last decade. The data are divided into two sections in order to build two different types of virtual portfolios. One section contains the data of the DAX index, and the second section is filled with securities from the MDAX. Two hypotheses are to be verified. First, is momentum still available in a time of mass internet availability, like during the past decade? And second, is momentum stronger in MDAX due to smaller firm sizes and corresponding lower market efficiency?
The Little Book of Stock Market Profits
Author: Mitch Zacks
Publisher: John Wiley & Sons
Published: 2011-10-19
Total Pages: 224
ISBN-13: 1118192419
DOWNLOAD EBOOKA timely guide to making the best investment strategies even better A wide variety of strategies have been identified over the years, which purportedly outperform the stock market. Some of these include buying undervalued stocks while others rely on technical analysis techniques. It's fair to say no one method is fool proof and most go through both up and down periods. The challenge for an investor is picking the right method at the right time. The Little Book of Stock Market Profits shows you how to achieve this elusive goal and make the most of your time in today's markets. Written by Mitch Zacks, Senior Portfolio Manager of Zacks Investment Management, this latest title in the Little Book series reveals stock market strategies that really work and then shows you how they can be made even better. It skillfully highlights earnings-based investing strategies, the hallmark of the Zacks process, but it also identifies strategies based on valuations, seasonal patterns and price momentum. Specifically, the book: Identifies stock market investment strategies that work, those that don't, and what it takes for an individual investor to truly succeed in today's dynamic market Discusses how the performance of each strategy examined can be improved by combining into them into a multifactor approach Gives investors a clear path to integrating the best investment strategies of all time into their own personal portfolio Investing can be difficult, but with the right strategies you can improve your overall performance. The Little book of Stock Market Profits will show you how.
