Log in

Relevant bibliographies by topics / Momentum portfolios / Journal articles

To see the other types of publications on this topic, follow the link: Momentum portfolios.

Journal articles on the topic 'Momentum portfolios'

Author: Grafiati

Published: 3 June 2025

Last updated: 31 July 2025

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the top 50 journal articles for your research on the topic 'Momentum portfolios.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Browse journal articles on a wide variety of disciplines and organise your bibliography correctly.

1

Hsieh, Heng-Hsing, Kathleen Hodnett, and Paul Van Rensburg. "Application Of Tactical Style Allocation For Global Equity Portfolios." International Business & Economics Research Journal (IBER) 11, no. 7 (2012): 745. http://dx.doi.org/10.19030/iber.v11i7.7061.

Full text

Abstract:

Our earlier study suggests that there exists specific timing for the two prominent investment styles, value and momentum. We extend our prior research to test and evaluate a tactical style allocation (TSA) model based on the weighted least squares (WLS) technique for global equities over the out-of-sample period from 1994 through 2008. Two TSA style-based portfolios are constructed in this research, namely, a portfolio with the risk-free proxy (cash component), the global momentum index and the global value index as its constituents, and a portfolio that is comprised of only the global momentu

APA, Harvard, Vancouver, ISO, and other styles

2

Tanzil, Ivan Chandra, Liliana Inggrit Wijaya, and Deddy Marciano. "The testing of common risk factors toward portfolio’s excess return." Jurnal Manajemen Maranatha 21, no. 2 (2022): 121–34. http://dx.doi.org/10.28932/jmm.v21i2.4676.

Full text

Abstract:

This study aims to examine common risk factors' effects in the Fama and French Five-Factor Model plus Momentum Factor on The Bisnis-27 Index Stocks component during the 2016-2020 period. This research's common risk factors include market risk premium, firm size, book-to-market equity ratio, profitability, investment, and momentum. A quantitative approach will be used in this study by using multiple linear regression. The regression in this study was generated by the common effects model method. This study reveals that a portfolio's excess return is simultaneously affected by common risk factor

APA, Harvard, Vancouver, ISO, and other styles

3

Hossan, Mohammad Akter, and Mohammad Joynal Abedin. "Factors of Stock Return and Carhart Model: The Case of Dhaka Stock Exchange (DSE) of Bangladesh." International Journal of Economics and Finance 11, no. 6 (2019): 14. http://dx.doi.org/10.5539/ijef.v11n6p14.

Full text

Abstract:

The objective of this study is to find factors of stock return by testing validity of Carhart model in Dhaka Stock Exchange (DSE) of Bangladesh. For this purpose, this study uses monthly excess return of portfolios, size, book-to-market value, market return, and price momentum data of 109 sample firms to calculate return factors such as market risk premium, size premium (SMB), value premium (HML), and momentum effect (UMD) for the sample period of 2005 to 2014. Then a total of ten portfolios, six based on size and book-to-market value and four based on size and price momentum, are constructed

APA, Harvard, Vancouver, ISO, and other styles

4

Li, Yuming, and Jing Yang. "International Real Estate Review." International Real Estate Review 23, no. 2 (2020): 235–66. http://dx.doi.org/10.53383/100301.

Full text

Abstract:

We investigate the profitability of momentum strategies in the market for single-family homes by using 10 city-level Case-Shiller home price indices (HPIs). Compared with the momentum strategies based on the Fama-French 10-industry portfolios of stocks, the profits from the single-family HPIs are more statistically significant, less sensitive to the construction methods of the momentum strategies and more correlated across different strategies. The momentum profits from the HPIs tend to be counter-cyclical, unlike the pro-cyclical behaviors of the momentum profits from stock portfolios. The di

APA, Harvard, Vancouver, ISO, and other styles

5

Guobužaitė, Renata, and Deimantė Teresienė. "Can Economic Factors Improve Momentum Trading Strategies? The Case of Managed Futures during the COVID-19 Pandemic." Economies 9, no. 2 (2021): 86. http://dx.doi.org/10.3390/economies9020086.

Full text

Abstract:

Systematic momentum trading is a prevalent risk premium strategy in different portfolios. This paper focuses on the performance of the managed futures strategy based on the momentum signal across different economic regimes, focusing on the COVID-19 pandemic period. COVID-19 had a solid but short-lived impact on financial markets, and therefore gives a unique insight into momentum strategies’ performance during such critical moments of market stress. We offer a new approach to implementing momentum strategies by adding macroeconomic variables to the model. We test a managed futures strategy’s p

APA, Harvard, Vancouver, ISO, and other styles

6

Assogbavi, Tov, Martin Giguere, and Komlan Sedzro. "The Impact Of Trading Volume On Portfolios Effective Time Formation/Holding Periods Based On Momentum Investment Strategies." International Business & Economics Research Journal (IBER) 10, no. 7 (2011): 1. http://dx.doi.org/10.19030/iber.v10i7.4662.

Full text

Abstract:

This paper analyzes momentum investment strategies based on past market data to evaluate the impact of trading volume on price momentum for the Canadian Stock Market. Utilizing variant models of Jegadeesh and Titman (1993) and Lee and Swaminathan (2000), we evaluate the effective time formation/holding periods of portfolios using both past price and trading volume. The findings suggest that taking high trading volume into consideration in momentum investment strategies on the TSX between 1996 to 2004 generally outperformed a strictly price-based momentum strategy for both winners (t= 2.118, p&

APA, Harvard, Vancouver, ISO, and other styles

7

Tsuji, Chikashi. "Volatility Regime and Equity Portfolio Return: Evidence from Europe." Applied Economics and Finance 5, no. 3 (2018): 1. http://dx.doi.org/10.11114/aef.v5i3.3071.

Full text

Abstract:

This paper examines four European equity portfolios sorted by size, book-to-market (B/M) ratios, operating profitability, investment, and momentum by using Markov switching models with high and low volatility regimes. Our empirical analyses derive the following interesting findings. First, in four European equity portfolios, the smallest and the strongest momentum portfolio yields the highest return. In addition, the second smallest and the highest B/M portfolio, the second smallest and the highest operating profitability portfolio, and the second smallest and the second lowest investment port

APA, Harvard, Vancouver, ISO, and other styles

8

Fague, Jeremy, and Caio Almeida. "Robust optimization of time series momentum portfolios." Brazilian Review of Finance 19, no. 1 (2021): 52–69. http://dx.doi.org/10.12660/rbfin.v19n1.2021.82045.

Full text

Abstract:

Mean-Variance Optimization (MVO) is well-known to be extremely sensitive to slight differences in the expected returns and covariances: if these measures change day to day, MVO can specify very different portfolios. Making wholesale changes in portfolio composition can cause the incremental gains to be negated by trading costs. We present a method for regularizing portfolio turnover by using the ℓ1 penalty, with the amount of penalization informed by recent historical data. We find that this method dramatically reduces turnover, while preserving the efficiency of mean-variance optimization in

APA, Harvard, Vancouver, ISO, and other styles

9

Ryou, Hosun, Han Hee Bae, Hee Soo Lee, and Kyong Joo Oh. "Momentum Investment Strategy Using a Hidden Markov Model." Sustainability 12, no. 17 (2020): 7031. http://dx.doi.org/10.3390/su12177031.

Full text

Abstract:

There has been a growing demand for portfolio management using artificial intelligence (AI). To sustain a competitive advantage for portfolio management, stock market investors require a strategic investment decision that can realize better returns. In this study, we propose a momentum investment strategy that employs a hidden Markov model (HMM) to select stocks in the rising state. We construct an HMM momentum portfolio that includes 890 Korean stocks and analyze the performance of the stocks over the period of January 2000 to December 2018. By identifying states of stocks, sectors, and marke

APA, Harvard, Vancouver, ISO, and other styles

10

Langenstein, Tim, Martin Užík, Thomas Holtfort, and Roman Warias. "Rolling Momentum Strategy: An Empirical Analysis." SHS Web of Conferences 129 (2021): 03018. http://dx.doi.org/10.1051/shsconf/202112903018.

Full text

Abstract:

Research background: The focus of the momentum strategy, as a procyclical investment strategy, lies in the hypothesis that the winning shares of the past will most likely develop in the same direction in the near future. The same is assumed for the performance of the loser shares. The technical trading rules of relative strength according to Levy provide the basis for this approach (Levy, 1967). The momentum strategy can thus offer investors an opportunity to outperform the market. The creation of portfolios under the momentum strategy follows simple rules: On the basis of past prices, equitie

APA, Harvard, Vancouver, ISO, and other styles

11

Choi, Jaehyung. "Maximum Drawdown, Recovery, and Momentum." Journal of Risk and Financial Management 14, no. 11 (2021): 542. http://dx.doi.org/10.3390/jrfm14110542.

Full text

Abstract:

We empirically test predictability on asset price using stock selection rules based on maximum drawdown and its consecutive recovery. In various equity markets, monthly momentum- and weekly contrarian-style portfolios constructed from these alternative selection criteria are superior not only in forecasting directions of asset prices but also in capturing cross-sectional return differentials. In monthly periods, the alternative portfolios ranked by maximum drawdown measures exhibit outperformance over other alternative momentum portfolios including traditional cumulative return-based momentum

APA, Harvard, Vancouver, ISO, and other styles

12

Goel, Garima, Saumya Ranjan Dash, Mário Nuno Mata, António Bento Caleiro, João Xavier Rita, and José António Filipe. "Economic Policy Uncertainty and Stock Return Momentum." Journal of Risk and Financial Management 14, no. 4 (2021): 141. http://dx.doi.org/10.3390/jrfm14040141.

Full text

Abstract:

This paper investigates the relationship between economic policy uncertainty (EPU), an index capturing newspaper coverage of policy-related issues, and momentum profits. Momentum remains an unexplained anomaly. Our findings reveal a statistically negative association between EPU and hedge momentum portfolios. The short side portfolio dominates this effect as compared to the long side. EPU is statistically significant after controlling for macroeconomic variables. Furthermore, the paper conducts a battery of time series analysis, which highlights that EPU has a causal relationship with the hedg

APA, Harvard, Vancouver, ISO, and other styles

13

Goyal, Amit, and Sunil Wahal. "Is Momentum an Echo?" Journal of Financial and Quantitative Analysis 50, no. 6 (2015): 1237–67. http://dx.doi.org/10.1017/s0022109015000575.

Full text

Abstract:

AbstractIn the United States, momentum portfolios formed from 12 to 7 months prior to the current month deliver higher future returns than momentum portfolios formed from 6 to 2 months prior, suggesting an “echo” in returns. In 37 countries excluding the United States, there is no robust evidence of such an echo. In portfolios that combine securities in developed and emerging markets, or across three major geographic regions (Americas excluding United States, Asia, and Europe), there is also no evidence of an echo. Any echo in the United States appears to be driven largely by a carryover of sh

APA, Harvard, Vancouver, ISO, and other styles

14

Tsuji, Chikashi. "Corporate Investment and Portfolio Returns in Japan: A Markov Switching Approach." Journal of Management and Strategy 9, no. 2 (2018): 1. http://dx.doi.org/10.5430/jms.v9n2p1.

Full text

Abstract:

This paper explores the profitability of four Japanese higher return equity portfolios and their linkages between corporate investment factor return, the so-called conservative-minus-aggressive (CMA), suggested by Fama and French (2015). Our empirical examinations derive the following evidence. First, in the four Japanese equity portfolios, the smallest and the highest operating profitability portfolio presents the highest return. Second, the smallest and the highest book-to-market (B/M) portfolio, the smallest and moderate investment portfolio, and the smallest and the second strongest moment

APA, Harvard, Vancouver, ISO, and other styles

15

Barroso, Pedro, and Pedro Santa-Clara. "Beyond the Carry Trade: Optimal Currency Portfolios." Journal of Financial and Quantitative Analysis 50, no. 5 (2015): 1037–56. http://dx.doi.org/10.1017/s0022109015000460.

Full text

Abstract:

AbstractWe test the relevance of technical and fundamental variables in forming currency portfolios. Carry, momentum, and value reversal all contribute to portfolio performance, whereas the real exchange rate and the current account do not. The resulting optimal portfolio produces out-of-sample returns that are not explained by risk and are valuable to diversified investors holding stocks and bonds. Exposure to currencies increases the Sharpe ratio of diversified portfolios by 0.5 on average, while reducing crash risk. We argue that besides risk, currency returns reflect the scarcity of specul

APA, Harvard, Vancouver, ISO, and other styles

16

Mikutowski, Mateusz, Marina Arnaut, and Adam Zaremba. "The (lack of) momentum effect in the UAE stock market." Journal of Research in Emerging Markets 1, no. 3 (2019): 1–7. http://dx.doi.org/10.30585/jrems.v1i3.346.

Full text

Abstract:

We investigate the momentum effect in the United Arab Emirates equity returns. Using a dataset of 124 firms listed in the UAE stock markets in the period January 2004 – March 2019, we form portfolios from one-way sorts on past returns ranging from 3 to 12 months. Contrary to the evidence from global markets, we have found that the momentum effect in the UAE is weak, unreliable, and insignificant. Under realistic trading assumptions, the momentum strategies cannot outperform a diversified market portfolio.

APA, Harvard, Vancouver, ISO, and other styles

17

Mahmoud, Oubay, and Almougheer I. Wardeh. "The Profitability of Momentum Strategies: Empirical Evidence from Damascus Securities Exchange (DSE)." International Journal of Business, Economics and Management 5, no. 1 (2018): 16–29. http://dx.doi.org/10.18488/journal.62.2018.51.16.29.

Full text

Abstract:

The purpose of this study is to examine the profitability of Momentum based- trading strategies and investigate the causes of such profitability in Damascus Securities Exchange (DSE) market. The study analyzed 16 Momentum strategies based on full rebalancing and equally weighted techniques using monthly data from January 2010 to December 2016. The findings of the study showed low but significant Momentum effect, where the returns of Momentum portfolios were statistically positive only in 1 out of 16 strategies. Our findings suggest that Momentum strategy is applicable for winner portfolios whe

APA, Harvard, Vancouver, ISO, and other styles

18

Abebe Assefa, Tibebe, Omar A. Esqueda, and Emilios C. Galariotis. "Overreaction evidence from large-cap stocks." Review of Accounting and Finance 13, no. 4 (2014): 310–25. http://dx.doi.org/10.1108/raf-05-2013-0072.

Full text

Abstract:

Purpose – The purpose of this paper is to assess the performance of a contrarian investment strategy focusing on frequently traded large-cap US stocks. Previous criticisms that losers’ gains are not due to overreaction but due to their tendency to be thinly traded and smaller-sized firms than winners are addressed. Design/methodology/approach – Portfolios based on past performance are constructed and it is examined whether contrarian returns exist. The Capital Asset Pricing Model (CAPM), Fama and French three-factor model and the Carhart’s (1997) momentum portfolio are used to test whether exc

APA, Harvard, Vancouver, ISO, and other styles

19

Kaiser, Lars, and Jan Welters. "Risk-mitigating effect of ESG on momentum portfolios." Journal of Risk Finance 20, no. 5 (2019): 542–55. http://dx.doi.org/10.1108/jrf-05-2019-0075.

Full text

Abstract:

Purpose Existing empirical evidence on the impact of environmental, social and governance (ESG) integration on momentum portfolios is limited. The combination of the two is relevant given the risk-mitigating effect of ESG criteria, as well as the existence of momentum crashes. As such, ESG might lend itself to reduce crash risk for momentum investors. Design/methodology/approach In this paper, the authors provide insight into the impact of an ESG-constrained investment universe on momentum returns. The overall investment universe is split into high and low ESG-rated segments to anylse the char

APA, Harvard, Vancouver, ISO, and other styles

20

ÖZER, Gökhan, and Ayşegül YILDIRIM KUTBAY. "Testing multi-factor asset pricing models in Borsa Istanbul." Business & Management Studies: An International Journal 10, no. 2 (2022): 555–68. http://dx.doi.org/10.15295/bmij.v10i2.2043.

Full text

Abstract:

This study aims to test the validity of multi-factor asset pricing models on the portfolios of non-financial companies whose shares are traded on Borsa Istanbul and to identify the model with the best explanatory power. Accordingly, the relationships between annual book-to-market equity ratio, firm size, market portfolio return, return on capital, operating profitability, momentum and value-added intellectual coefficient between 2008-2019 were analyzed using panel data analysis. As a result of the analyses made, it has been observed that Fama French's three and five factors, Carhart (momentum)

APA, Harvard, Vancouver, ISO, and other styles

21

Chen, Wei. "Comparison of Cross-sectional Momentum Strategy and Time-Series Momentum Strategy." Highlights in Business, Economics and Management 39 (August 8, 2024): 462–66. http://dx.doi.org/10.54097/p2fhxd83.

Full text

Abstract:

There are all kinds of quantitative portfolios used in the stock investing such as momentum, mean reversion, liquidity and so on. Cross-sectional momentum and Time-series momentum are the two main method of momentum strategies. They are also the basic methods that were used to construct the portfolio of investing. The essay analyses the difference of the theoretical definition and compares the two methods’ return, sharp ratio, maximum drawdown and some other indicators in a relative stable and prosperous environment which is simulated by well performed stocks in the 10 years’ period without co

APA, Harvard, Vancouver, ISO, and other styles

22

Boamah, Nicholas Addai. "Robustness of the Carhart four-factor and the Fama-French three-factor models on the South African stock market." Review of Accounting and Finance 14, no. 4 (2015): 413–30. http://dx.doi.org/10.1108/raf-01-2015-0009.

Full text

Abstract:

Purpose – The purpose of this study is to explore the applicability of the Fama–French and Carhart models on the South African stock market (SASM). It examines the ability of the models to capture size, book-to-market (BM) and momentum effects on the SASM. The paper, additionally, explores the ability of the Fama–French–Carhart factors to predict the future growth of the South African economy. Design/methodology/approach – The paper relies on data of 848 firms from January 1996 to April 2012 to examine the size, BM and momentum effects on the SASM. The paper constructs the test assets from a 3

APA, Harvard, Vancouver, ISO, and other styles

23

Maheshwari, Supriya, and Raj S. Dhankar. "Profitability of Volume-based Momentum and Contrarian Strategies in the Indian Stock Market." Global Business Review 18, no. 4 (2017): 974–92. http://dx.doi.org/10.1177/0972150917692401.

Full text

Abstract:

This article investigates the relationship of trading volume with the profitability of momentum and long-run contrarian strategies for the Indian stock market. The result of the study provides support to Lee and Swaminathan (2000, The Journal of Finance, 55(5), 2017–2069) argument that trading volume predicts both the magnitude as well as the persistence of momentum in the long run. The portfolio of heavily traded securities earned higher momentum and contrarian returns as compared to low-trading securities portfolio in the Indian stock market. Hence, returns from both momentum and contrarian

APA, Harvard, Vancouver, ISO, and other styles

24

Zaremba, Adam, and Przemysław Konieczka. "Size, Value, and Momentum in Polish Equity Returns: Local or International Factors?" International Journal of Management and Economics 53, no. 3 (2017): 26–47. http://dx.doi.org/10.1515/ijme-2017-0017.

Full text

Abstract:

Abstract This paper tests the performance of the Capital Asset Pricing Model (CAPM) and the Fama-French three-factor and Carhart four-factor models on the Polish market. We use stock level data from April 2001 to January 2014 and find strong evidence for value and momentum effects, but only weak evidence for size premium. We formed portfolios double-sorted on size and book-to-market ratios, as well as on size and momentum, and we explain their returns with the above-mentioned asset pricing models. The CAPM is rejected and the three-factor and four-factor models perform well for the size and B/

APA, Harvard, Vancouver, ISO, and other styles

25

Ajadi, Adedeji. "Profitability of momentum investing strategies in an emerging market." Business Performance Review 1, no. 1 (2023): 31–40. http://dx.doi.org/10.22495/bprv1i1p3.

Full text

Abstract:

This paper examines the profitability of momentum strategies on the Nigerian stock market over a 20-year period, from 1996 to 2016, using all listed equities on the Nigeria Exchange Limited (NGX) All Share Index. It also evaluates whether or not the profitability of momentum strategies is conditional upon the state of the market. A momentum strategy creates and buys a portfolio of past winners and short-sells a portfolio of past losers to generate excess profit. Our result shows that the Nigerian stock market exhibits medium-term price momentum, with eight out of sixteen strategies recording s

APA, Harvard, Vancouver, ISO, and other styles

26

Cattaneo, Matias D., Richard K. Crump, Max H. Farrell, and Ernst Schaumburg. "Characteristic-Sorted Portfolios: Estimation and Inference." Review of Economics and Statistics 102, no. 3 (2020): 531–51. http://dx.doi.org/10.1162/rest_a_00883.

Full text

Abstract:

Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies. Despite its popularity, little attention has been paid to the statistical properties of the procedure. We develop a general framework for portfolio sorting by casting it as a nonparametric estimator. We present valid asymptotic inference methods and a valid mean square error expansion of the estimator leading to an optimal choice for the number of portfolios. In practical settings, the optimal choice may be much larger than the standard choices of five or ten. To il

APA, Harvard, Vancouver, ISO, and other styles

27

Filippou, Ilias, Arie E. Gozluklu, and Mark P. Taylor. "Global Political Risk and Currency Momentum." Journal of Financial and Quantitative Analysis 53, no. 5 (2018): 2227–59. http://dx.doi.org/10.1017/s0022109018000686.

Full text

Abstract:

Using a measure of political risk, relative to the United States, that captures unexpected political conditions, we show that political risk is priced in the cross section of currency momentum and contains information beyond other risk factors. Our results are robust after controlling for transaction costs, reversals, and alternative limits to arbitrage. The global political environment affects the profitability of the momentum strategy in the foreign exchange market; investors following such strategies are compensated for the exposure to the global political risk of those currencies they hold

APA, Harvard, Vancouver, ISO, and other styles

28

Vijaya, C., Koushik Hati, and M. Thenmozhi. "Developing a Security Risk Assessment based Smart Beta Portfolio Model for Robo Advising." Australasian Business, Accounting and Finance Journal 18, no. 3 (2024): 7–25. http://dx.doi.org/10.14453/aabfj.v18i3.02.

Full text

Abstract:

construction model for Robo Advising investors belonging to different risk categories. This model will cater to the Gen Z tech-savvy retail investors who have become more active and are interested in online investment platforms like Robo Advising. Our study differs from prior studies as it proposes a portfolio construction model for equity investors belonging to different risk categories while traditional approaches map debt portfolios to low risk investors and equity portfolios to high risk investors. Investors are generally risk-averse but prior studies have developed SB portfolios without c

APA, Harvard, Vancouver, ISO, and other styles

29

Wu, Xiaoling. "Empirical Research on Momentum and Reversal Effects in Software Industry." BCP Business & Management 41 (March 17, 2023): 314–19. http://dx.doi.org/10.54691/bcpbm.v41i.4449.

Full text

Abstract:

This paper uses monthly data from Jan 2002 to Sep 2022 from fifty top Software companies of 2022 rated by the Software Report to examine the existence of momentum and reversal effects both in short term and long term in Software industry. The relationship between investment sentiment and anomalies is further explained and the robustness of FF-3F Model is tested. Based on two ways of forming portfolios, equal-weighted portfolio and value-weighted portfolio, the result shows that the software industry has stronger momentum and reversal effects in the medium term and short term. The Mkt-RF factor

APA, Harvard, Vancouver, ISO, and other styles

30

Khan, Anila Rafique, Muhammad Waqas, and Arshad Hassan. "Market Volatility and Momentum: Evidence from Pakistani Stock Exchange." Sukkur IBA Journal of Management and Business 4, no. 1 (2017): 82. http://dx.doi.org/10.30537/sijmb.v4i1.105.

Full text

Abstract:

This study explores the relationship between market volatility and momentum profitability. This study indicates that market state volatility has significant power to forecast momentum payoffs, especially in negative market states. The results are the context in the presence of market state and business cycle variables. Market premium is significant and negative. Market volatility is also found negatively influencing momentum profits. Volatility is divided into volatility in the positive market and volatility in the negative market. Both are significantly and negatively influencing momentum pro

APA, Harvard, Vancouver, ISO, and other styles

31

Park, Chan, and Ki-Sung Yang. "An Investigation of Trading Strategies using Korean Stocks and U.S. Dollar." Institute of Management and Economy Research 13, no. 2 (2022): 123–38. http://dx.doi.org/10.32599/apjb.13.2.202206.123.

Full text

Abstract:

Purpose - This study compares the performances of dynamic asset allocation strategies using Korean stocks and U.S. dollar, which have been negatively correlated for a long time, to examine the diversification effects in the portfolios of them. Design/methodology/approach - In the current study, we use KOSPI200 index, as a proxy of the aggregated portfolio of Korean stocks, and USDKRW foreign exchange rate to implement various portfolio management strategies. We consider the equally-weighted, risk-parity, minimum variance, most diversified, and growth optimal portfolios for comparison. Findings

APA, Harvard, Vancouver, ISO, and other styles

32

Ejaz, Abdullah, and Petr Polak. "Short-Term Momentum Effect: a Case of Middle East Stock Markets." Business: Theory and Practice 16, no. (1) (2015): 104–12. https://doi.org/10.3846/btp.2015.438.

Full text

Abstract:

The objective of this paper is to find short-term momentum effect in stock markets of the Middle East and to examine whether short-term momentum profits can be explained by risk-based CAPM model. Seven major stock markets from the Middle East were selected. Short-term momentum effect was found in all seven stock markets and CAPM does not adequately explain the short-term momentum profits but momentum portfolio returns are statistically significant. This paper is first attempt to bring major stock markets of the Middle East together and examine them for the short term momentum effect phenomenon

APA, Harvard, Vancouver, ISO, and other styles

33

Azam, Mohammad. "Tobin-Q, Liquidity and Momentum risk-premia: A Demonstration of Weighted Least Squares Regression Approach." SEISENSE Journal of Management 6, no. 1 (2023): 98–122. http://dx.doi.org/10.33215/vm172083.

Full text

Abstract:

Purpose- The basic purpose of the study is to examine whether Tobin-q, liquidity and momentum risk-premium contributes the explanatory power in terms of explaining portfolio returns in PSX. Design/Methodology- The Weighted Least Square (WLS) regression technique is empirically used to examine the nexus between risk-factor and portfolio returns using PSX dataset. The models provide useful tools for making efficient strategies in the jurisdiction of investments and portfolio constructions. Findings- The study reveals that multidimensional liquidity exhibits weak significant results while Tobin-q

APA, Harvard, Vancouver, ISO, and other styles

34

Sutedja, Michael Diptana Setiawan, and Liliana Inggrit Wijaya. "Does Including Momentum Factor Into Fama-French Five-Factor Model Predict Better Return In Indonesia?" Syntax Literate ; Jurnal Ilmiah Indonesia 7, no. 2 (2022): 852. http://dx.doi.org/10.36418/syntax-literate.v7i2.6326.

Full text

Abstract:

The addition of momentum factor to the Fama-French Five-Factor Model in recent studies encourages investors to reconsider their investment strategies. The aim of this research is to compare the explanatory power of the Fama-French Five-Factor Model Plus Momentum (FF5F Plus Momentum) and the Fama-French Five-Factor Model (FF5F) to portfolio return of stocks listed in the Kompas100 Index over the 2010-2019 period. This research also aims to describe the relation and significance of each factor (market risk, size, book-to-market equity or value, profitability, investment, and momentum) in the FF5

APA, Harvard, Vancouver, ISO, and other styles

35

Sitinjak, Elizabeth Lucky Maretha. "Pola Strategi Investasi Investor Individu Saham Menurut Generasi X, Y, Dan Z." Jurnal Pasar Modal dan Bisnis 1, no. 1 (2019): 67–78. http://dx.doi.org/10.37194/jpmb.v1i1.10.

Full text

Abstract:

Purpose- The purpose of this study, showing the pattern of stock investment strategy in accordance with the type of generation in order to manage the portfolio optimally. Methods- This research method using Anova with data obtained from Meta Data Analysis subjects of previous research experiments. Finding- The results show, each generation has a pattern of different stock investment strategies. This can be seen from the level of investor risk, and stock portfolio. The combination of stock portfolios tends to consist of private companies located in 10 sectors, private companies-BUMN

APA, Harvard, Vancouver, ISO, and other styles

36

Valach, Vladimír, Filip Paciga, and Mária Bohdalová. "APPLICATION OF SECTOR ROTATION IN ACTIVE PORTFOLIO MANAGEMENT FOR US AND EU STOCK MARKETS." Proceedings of CBU in Economics and Business 4 (December 20, 2024): 22–29. https://doi.org/10.12955/peb.v4.389.

Full text

Abstract:

The paper deals with active portfolio management through sector rotation. Focusing on European and American markets, it introduces the reader to the intricacies of sector rotation in active investing using a carefully selected investment strategy. We aim to propose and validate an investment approach that combines monetary policy changes with momentum. We construct our investment portfolios by constructing sector-specific exchange-traded funds (ETFs) for the European and U.S. markets. We analyze monthly data from March 2003 to March 2023 to evaluate performance. Our investigation covers severa

APA, Harvard, Vancouver, ISO, and other styles

37

Imran Hunjra, Ahmed, Tahar Tayachi, Rashid Mehmood, Sidra Malik, and Zoya Malik. "Impact of Credit Risk on Momentum and Contrarian Strategies: Evidence from South Asian Markets." Risks 8, no. 2 (2020): 37. http://dx.doi.org/10.3390/risks8020037.

Full text

Abstract:

We examine the profitability of the momentum and contrarian strategies in three South Asian markets, i.e., Bangladesh, India, and Pakistan. We also analyze, whether credit risk influences momentum and contrarian return for these markets from 2008 to 2014. We use default risk that relates to non-payments of debts by firms as a measure of credit risk. For that purpose, we use distance to default (DD) by Kealhofer, McQuown, and Vasicek (KMV) model as a proxy of credit risk. We calculate the credit risk and form the momentum and contrarian strategies of the firms based on high, medium, and low ris

APA, Harvard, Vancouver, ISO, and other styles

38

Duan, Siyao. "Performance of Time-series Momentum Strategy: US Evidence." Advances in Economics, Management and Political Sciences 35, no. 1 (2023): 45–54. http://dx.doi.org/10.54254/2754-1169/35/20231722.

Full text

Abstract:

This paper examines the effectiveness of the time series momentum strategy in generating positive returns in the US stock market, with a focus on exploring its dynamics and performance using different moving average methods. The author conducted an empirical analysis of the time series momentum strategy using S&P500 data from 2000 to 2022. A regression model was applied to estimate the expected returns and volatility of each as-set, and then an evaluation of momentum trading strategy based on different moving average methods was developed. The author evaluates the performance of the strate

APA, Harvard, Vancouver, ISO, and other styles

39

Xiao, Yufeng, Yanxing Xue, and Shuqing Xiao. "Momentum Effect of Stocks Take the Stock Returns of 50 Firms in the U.S. as an Example." Advances in Economics, Management and Political Sciences 103, no. 1 (2024): 88–93. http://dx.doi.org/10.54254/2754-1169/103/20242338.

Full text

Abstract:

Abstract: This paper randomly selects 50 SP500 US CRSP companies to study the existence of momentum effects in these 50 companies from January 2010 to December 2020. The article uses the CAPM model and the Fama-French model to classify the 50 companies into 10 different portfolios according to the magnitude of the momentum effect and uses the Fama-Macbeth model combined with the momentum factor MOM to investigate whether there is a momentum effect for the 50 companies. The study reveals a momentum effect, evidenced by higher momentum portfolios generally demonstrating better risk-adjusted retu

APA, Harvard, Vancouver, ISO, and other styles

40

MISHIN, A. A., V. D. IGONIN, and K. E. KUCHINSKY. "ISSUES OF FACTOR INVESTMENT IN THE CORPORATE BOND MARKET." EKONOMIKA I UPRAVLENIE: PROBLEMY, RESHENIYA 2, no. 4 (2020): 81–89. http://dx.doi.org/10.36871/ek.up.p.r.2020.04.02.013.

Full text

Abstract:

The article examines the effectiveness of portfolios with a low level of risk, cost, and factor momentum in the corporate bond market. This paper provides empirical evidence that portfolios of size, risk-free rate, cost, and momentum factors create economically significant and statistically significant Alphas in the corporate bond market. In addition, distribution by corporate bond factors provides added value, in addition to distribution by shares in the context of multiple assets.

APA, Harvard, Vancouver, ISO, and other styles

41

Tee, Lain-Tze, Si-Roei Kew, and Soo-Wah Low. "Do momentum strategies perform better for Islamic stocks than for conventional stocks across market states?" Ekonomski anali 64, no. 221 (2019): 107–29. http://dx.doi.org/10.2298/eka1921107t.

Full text

Abstract:

This study compares the momentum profitability of Islamic and conventional stocks in Malaysia and examines whether the presence of momentum profits is market-state dependent. Winner portfolios are shown to outperform loser portfolios, suggesting that a momentum effect exists in the equity market. Islamic stocks exhibit stronger momentum than conventional stocks. Interestingly, although pursuing profit is not the primary goal of Islamic stock investors, the findings indicate that momentum profits for all Islamic stock trading strategies are higher than those for conventional stocks. The profits

APA, Harvard, Vancouver, ISO, and other styles

42

Laborda, Juan, and Ricardo Laborda. "Can tree-structured classifiers add value to the investor?" Finance Research Letters 22, August 2017 (2017): 211–26. https://doi.org/10.1016/j.frl.2017.06.002.

Full text

Abstract:

We analyse the investor welfare gain of including tree-structured classifiers’ predictions about the relative performance of stock vs. cash. The CART, bagging, and random forest methods select the VIX level and momentum, the earning bond yield level and momentum, and the detrended risk-free rate as the most important state variables to predict the outperformance of the S&P 500 vs. cash out-of-sample. These tree-structured classifiers’ predictions are used as a binary state variable to estimate optimal investor portfolios that also deliver out-of-sample higher Sharpe ratios and

APA, Harvard, Vancouver, ISO, and other styles

43

Spyrou, Spyros. "Momentum return volatility, uncertainty, and energy prices: evidence from major international equity markets." Review of Behavioral Finance 12, no. 4 (2020): 411–33. http://dx.doi.org/10.1108/rbf-09-2019-0133.

Full text

Abstract:

PurposeThis paper examines the impact of macroeconomic and risk factors on the profitability and volatility of professional momentum portfolios for the US, the UK, Japan and Germany, for the period 1998–2018. Many of the factors employed, such as energy price changes and economic policy uncertainty, have been largely neglected in the relevant literature.Design/methodology/approachRegression analysis, VECTOR AUTOREGRESSION (VAR), Panel-VAR, Variance Decomposition AnalysisFindingsThe results indicate that, since the financial crises in the US and the EU, energy prices and economic-policy uncerta

APA, Harvard, Vancouver, ISO, and other styles

44

Sehgal, Sanjay, and Vibhuti Vasishth. "Past price changes, trading volume and prediction of portfolio returns." Journal of Advances in Management Research 12, no. 3 (2015): 330–56. http://dx.doi.org/10.1108/jamr-10-2014-0056.

Full text

Abstract:

Purpose – The purpose of this paper is to evaluate the profitability of investment strategies based on past price changes and trading volumes. Design/methodology/approach – Data are employed from January 1998 to December 2011 for select emerging markets. Portfolios are formed on the basis of past information on prices and/or volumes. Unrestricted and risk adjusted returns for sample portfolios are analyzed. The risk models employed in study are Capital Asset Pricing Model (CAPM), Fama-French (F-F) Model and Fama-French augmented models. Findings – Price momentum patterns are observed for Brazi

APA, Harvard, Vancouver, ISO, and other styles

45

Chakrabarti, Gagari, and Chitrakalpa Sen. "Time series momentum trading in green stocks." Studies in Economics and Finance 37, no. 2 (2020): 361–89. http://dx.doi.org/10.1108/sef-07-2019-0269.

Full text

Abstract:

Purpose The purpose of this study is to explore the inherent instability, if any, in the context of investment in stocks of environment friendly companies (or the “green” stocks) across the globe using the time series momentum (TSM) trading strategies. Design/methodology/approach Using the monthly data for the Green Indexes from the USA, the Europe and the Asia-Pacific region over 2003-2019, the authors construct TSM trading strategies to examine the efficacy of regional Green Indexes as well as two diversified global green portfolios to offer abnormal return to attract investors, particularly

APA, Harvard, Vancouver, ISO, and other styles

46

Pasaribu, A. Rowland Bismark Fernando. "VALUE AT RISK OF MOMENTUM INVESTMENT STRATEGY: INDONESIA'S LIQUID STOCKS PORTFOLIO." Jurnal Manajemen Indonesia 19, no. 1 (2019): 30. http://dx.doi.org/10.25124/jmi.v19i1.1982.

Full text

Abstract:

The capability of momentum investment strategy was explore through portfolio risk reduction by value at risk method at liquid shares in Indonesia stock exchange period 2008-2016. The purpose of this study are to analyse the value of momentum investment strategy risk reduction with the Value at Risk approach to historical-volatility approach and examine differences in risk reduction performance by winner and loser portfolios formed from a collection of liquid shares in the Indonesia stock exchange for the period 2008-2016. The stocks selection method in forming winners and losers portfolio done

APA, Harvard, Vancouver, ISO, and other styles

47

Agrawal, Tarunika Jain, Sanjay Sehgal, and Vibhuti Vasishth. "Firm Attributes, Corporate Fundamentals and Investment Strategies: An Empirical Study for Indian Stock Market." Management and Labour Studies 45, no. 3 (2020): 366–87. http://dx.doi.org/10.1177/0258042x20927995.

Full text

Abstract:

We combine corporate attributes and fundamental factors for evolving different investment strategies using data from 200 companies listed in the National Stock Exchange (NSE) from 2005 to 2018. The results indicate the existence of equity market anomalies based on size, volume, earnings, cash flow variability, asset growth, price momentum, price-to-book ratio and profitability. The performance of trading strategies is sensitive to portfolio construction procedure, that is, forming 5/10/20 portfolios. Bivariate strategies generally perform better than univariate strategies in the Indian context

APA, Harvard, Vancouver, ISO, and other styles

48

LIN, SZU-HSIEN, SHAO-CHUN CHIU, HUEI HWA LAI, and BO-CHUN HUANG. "EXPLORING ESG MOMENTUM: CORPORATE RESPONSIBILITY AND STOCK PERFORMANCE IN TAIWAN." International Journal of Accounting Finance and Social Science Research 03, no. 04 (2025): 01–09. https://doi.org/10.63452/ijafssr.2025.3401.

Full text

Abstract:

With the acceleration of global economic integration and a growing awareness of sustainability, investors are increasingly prioritizing corporate social responsibility (CSR) in their decisionmaking. This study examines the relationship between CSR and stock momentum by analyzing the Taiwan stock market through the lens of two prominent Exchange-Traded Funds (ETFs): the Fubon Taiwan Corporate Governance 100 ETF (00692) and the Yuanta Taiwan ESG Sustainability ETF (00850). Using a sample period from December 2009 to December 2019, the study constructs momentum portfolios based on historical retu

APA, Harvard, Vancouver, ISO, and other styles

49

Atodaria, Zankhana. "Comparing Factor Models in the Indian Stock Market." Journal of BRICS Studies 4, no. 1 (2025): 90–107. https://doi.org/10.36615/ccaq7h22.

Full text

Abstract:

Which factor model better explains portfolio return variation in India? This study compares the Fama French Three Factor Model, Carhart Four Factor Model & Fama French Five Factor Model in the Indian Stock Market. S&P BSE 100 index companies are studied over 16 years, i.e., April 2005 to June 2021. Four fundamentals & a momentum variable (Market Capitalization, P/B ratio, past performance, Profitability & Investment) based factor mimicking portfolios had been formed using the Fama French (1993, 2015) & Carhart (1997) Methodology. Portfolios for dependent variables were form

APA, Harvard, Vancouver, ISO, and other styles

50

Bali, Turan G., and Hao Zhou. "Risk, Uncertainty, and Expected Returns." Journal of Financial and Quantitative Analysis 51, no. 3 (2016): 707–35. http://dx.doi.org/10.1017/s0022109016000417.

Full text

Abstract:

AbstractA conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity portfolios to the market and uncertainty factors carry positive risk premia. The empirical results from the size, book-to-market, momentum, and industry portfolios indicate that the conditional covariances of equity portfolios with market and uncertainty predict the time-series and cross-sectional variation in stock returns. We find that equity portfolios that are highly correlated with economic uncertainty proxied by the variance risk premium (VRP) carry a significant annualiz

APA, Harvard, Vancouver, ISO, and other styles

We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!