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Journal articles on the topic 'Price momentum investment strategy'

Author: Grafiati

Published: 3 June 2025

Last updated: 31 July 2025

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1

Wang, Shuaiyin. "Market Investment Strategy: Cross-Sectional Momentum with Dynamic Filtering." Advances in Economics, Management and Political Sciences 200, no. 1 (2025): 39–46. https://doi.org/10.54254/2754-1169/2025.lh25120.

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Momentum investing, while historically profitable, is prone to severe crashes during market reversals. This paper addresses the challenge of improving a momentum strategys riskreturn profile by incorporating fundamental filters and dynamic weighting through machine learning, a question of great importance in quantitative finance given momentums popularity and risks. This paper compared three momentum-based equity strategies on S&P 500 stocks from 20102024: (1) a baseline cross-sectional price momentum strategy with no filters, (2) a momentum strategy with a static Return-on-Equity (ROE) pr

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2

Huang, Jinsui, Peiying Zhang, and Junbin Zhang. "Understanding Momentum and Reversal Investing Strategies." Journal of Economics, Finance and Accounting Studies 5, no. 1 (2023): 106–12. http://dx.doi.org/10.32996/jefas.2023.5.1.8.

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Momentum and reversals are two phenomena to explain the past return trend. Originally introduced by Jegadeesh and Titman in 1993, momentum is now a common investment strategy when investors are trading securities. It points out the stock price may have a relationship with their past performance. A large number of researchers have been trying to find out the momentum investment effect based on empirical evidence in different markets in different investment periods, which include short term, medium term and long term. Moreover, a series of research concludes that the momentum investment strategy

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Han, Qingyuan. "Momentum Origin and Investor Behaviors on Wall Street." Universal Journal of Financial Economics 2, no. 2 (2023): 1–20. http://dx.doi.org/10.37256/ujfe.2220233385.

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The Efficient Market Hypothesis (EMH) asserts that consistently outperforming the market is implausible because market prices promptly incorporate all available information. However, the momentum strategy has demonstrated consistent profitability, which poses a significant challenge to the EMH and suggests the presence of factors that extend beyond existing theoretical frameworks in influencing price movements. Here we present a model attributing changes in asset return to behavior interactions between liquidity takers and providers that directly impact price formation and discovery processes.

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Ejaz, Abdullah, and Petr Polak. "Australian Stock Exchange and sub-variants of price momentum strategies." Investment Management and Financial Innovations 15, no. 1 (2018): 224–35. http://dx.doi.org/10.21511/imfi.15(1).2018.19.

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The aim of this study is to examine the sub-variants of price momentum strategies. The paper recommends which sub-variants post above average returns for Australian Stock Exchange. It also analyzes the return behavior of short-term momentum effect among sub-variants of price momentum strategies. It has been found that monthly price momentum strategies result in above average abnormal returns, whereas weekly price momentum strategies should be used in combination with monthly price momentum strategies. Trading volume-based momentum investment strategies should not be used at all.

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A., Kadakia,, and Gupta, P. "Establishment of Portfolio Based On Momentum Strategy and Analyzing the Factors Affecting the Portfolio Returns." CARDIOMETRY, no. 24 (November 30, 2022): 708–17. http://dx.doi.org/10.18137/cardiometry.2022.24.708717.

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For many years, momentum strategy for investment in stocks is being investigated, which suggests that investing in the stocks in momentum generally generates excessive returns. The study explores establishing the portfolio based on the momentum strategy adopting the methodology of Jegadeesh and Titman with minor modification. Building on Indian data from the National Stock Exchange, stocks of Index Nifty 50, and Next Nifty from January 2010 to December 2019, this paper analyzes the return to see the effectiveness of momentum strategy. The stocks in the portfolio are included based on defined c

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Weng, Sijie. "Different portfolio performance based on momentum strategy, market neutral strategy and PEG ratio in volatile market." Advances in Economics, Management and Political Sciences 15, no. 1 (2023): 1–12. http://dx.doi.org/10.54254/2754-1169/15/20230857.

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This paper aims to analyze the return of the investment portfolio based on the judgment of the current market, combining the characteristics of the strategy and the situation of the applicable industry. At present, many research papers have an aperture in understanding and practical application of the above topics, because they have not been comprehensively presented from multiple perspectives such as market and industry conditions and strategic characteristics. Momentum strategy, market neutral strategy and PEG ratio are selected here, combined with representative stocks in the consumer indus

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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.

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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&

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Subramaniam, Srividya, Gagan Sharma, and Srishti Sehgal. "Profitability of Style based Investment Strategies: Evidence from India." Asian Journal of Finance & Accounting 9, no. 2 (2017): 1. http://dx.doi.org/10.5296/ajfa.v9i2.11456.

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In this paper, we aim to identify profitable investment styles on the Indian stock market by using various combinations of important stock pricing anomalies consisting of. size, value, volume, profitability, earnings surprises, short term and long term prior returns. Using NSE200 stocks, three different investment styles viz. univariate, independent bivariate and conditional bivariate are constructed for the period July 2005-June 2016.Results show that on an absolute return basis, bivariate strategies do not seem to outperform univariate strategies. The unifactor CAPM is able to absorb 42% of

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Priya, Gupta, and Ahmad Ansari Valeed. "Gross Profitability and Momentum: Evidence from India." Journal of Economics, Finance And Management Studies 08, no. 02 (2025): 1321–31. https://doi.org/10.5281/zenodo.14928615.

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This study investigates the joint impact of an investment strategy that integrates gross profitability and the 52-week high price indicator within the context of the Indian stock market. This study uses an empirical approach commonly found in asset pricing literature. The analysis incorporates data from October 2002 to September 2022. Firms are classified into tercile portfolios according to their profitability and momentum metrics, and their overall performance is assessed using an independent double-sorting methodology. The empirical analysis presents results for both value-weighted and equa

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Xingyuan Li, Tianquan Liu, Shuiyang Pan,. "Analyzing the Efficacy of the Relative Strength Indicator of Capital Inflows and Outflows Based on Big Data Analysis in Achieving Abnormal Returns Evidence from the Chinese Stock Market." Journal of Electrical Systems 20, no. 2 (2024): 958–70. http://dx.doi.org/10.52783/jes.1259.

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This study originates from an analysis of market microstructure and introduces a novel statistical indicator of relative strength in capital flows through the application of big data analytics. This indicator effectively captures the impact of capital movements on future stock prices by integrating variations in stock prices with the volume of transactions within a corresponding timeframe. Building upon this foundation, the research develops an innovative momentum investment strategy based on the relative strength indicator of capital inflows and outflows, extending beyond the traditional fixe

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Berghorn, Wilhelm, Martin T. Schulz, Markus Vogl, and Sascha Otto. "Trend Momentum II: Driving Forces of Low Volatility and Momentum." International Journal of Financial Research 12, no. 3 (2021): 300. http://dx.doi.org/10.5430/ijfr.v12n3p300.

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In discussions and critiques on the validity of the Efficient Market Hypothesis, there are two important research focuses: statistical analyses showing that the basic assumption of statistical independence in price series is violated and empirical findings that show that significant market anomalies exist. In this paper, we combine both viewpoints by analyzing two important mathematical factor anomalies: low volatility and momentum. By applying an explicit trend model, we show that both anomalies require trending. Additionally, we show that the trend model exhibits lognormal trend characterist

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Silva, Thiago Christiano, Benjamin Miranda Tabak, and Idamar Magalhães Ferreira. "Modeling Investor Behavior Using Machine Learning: Mean-Reversion and Momentum Trading Strategies." Complexity 2019 (December 26, 2019): 1–14. http://dx.doi.org/10.1155/2019/4325125.

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We model investor behavior by training machine learning techniques with financial data comprising more than 13,000 investors of a large bank in Brazil over 2016 to 2018. We take high-frequency data on every sell or buy operation of these investors on a daily basis, allowing us to fully track these investment decisions over time. We then analyze whether these investment changes correlate with the IBOVESPA index. We find that investors decide their investment strategies using recent past price changes. There is some degree of heterogeneity in investment decisions. Overall, we find evidence of me

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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.

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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

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Kim, Eun-chong, Han-wook Jeong, and Nak-young Lee. "Global Asset Allocation Strategy Using a Hidden Markov Model." Journal of Risk and Financial Management 12, no. 4 (2019): 168. http://dx.doi.org/10.3390/jrfm12040168.

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This study uses the hidden Markov model (HMM) to identify the phases of individual assets and proposes an investment strategy using price trends effectively. We conducted empirical analysis for 15 years from January 2004 to December 2018 on universes of global assets divided into 10 classes and the more detailed 22 classes. Both universes have been shown to have superior performance in strategy using HMM in common. By examining the change in the weight of the portfolio, the weight change between the asset classes occurs dynamically. This shows that HMM increases the weight of stocks when stock

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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.

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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

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Purnomo, Dwi Tjahjo, Sugeng Wahyudi, and Harjum Muharam. "Excess Returns Unleashed: Dynamic Momentum-Contrarian Strategy with Ichimoku." WSEAS TRANSACTIONS ON COMPUTER RESEARCH 12 (September 20, 2024): 415–28. http://dx.doi.org/10.37394/232018.2024.12.41.

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Previous studies of momentum strategies and contrarian strategies have focused on debating the advantages of each strategy separately without attempting integration. The aim of this study was to test the effects of combining these two strategies into a dynamic approach, using Ichimoku as a mediator. This quantitative research uses daily stock prices taken from the Indonesia Stock Exchange website to analyze the mechanism of the relationship between heuristics and investment performance. Our research demonstrates the superior performance of the Dynamic strategy in generating higher returns when

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Umar Bala, Chin Lee, and Rabiu Maijama’a. "Asymmetric Pass-Through Effects of Oil Price on Economic Growth in Malaysia." International Journal of Business and Society 22, no. 2 (2021): 753–64. http://dx.doi.org/10.33736/ijbs.3755.2021.

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This empirical analysis intends to examine the asymmetric response of economic growth when the oil price changes in Malaysia by applying threshold autoregressive (TAR) and momentum threshold autoregressive (MTAR) cointegration and asymmetric adjustment models. The results revealed that the oil price has an asymmetric impact on Malaysian economic growth. We found that when oil price increases this accelerates economic growth; however, the speeds of adjustment back to the steady position were insignificant. When the oil price dropped, oil price significantly and negatively affects economic growt

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Li, Jingjing, Xinge Rao, Xianyi Li, and Sihai Guan. "Gold and Bitcoin Optimal Portfolio Research and Analysis Based on Machine-Learning Methods." Sustainability 14, no. 21 (2022): 14659. http://dx.doi.org/10.3390/su142114659.

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In recent years, the bitcoin market has developed rapidly and has been recognized as a new type of gold by many investors. It may replace gold as a hedge against inflation and become a new investment asset for financial management. The investment relationship with gold has increasingly important research value and practical significance. This paper modeled daily price flow data from 11 September 2016 to 10 September 2021 to help market traders determine whether they need to buy, hold, or sell assets in their portfolios daily. The model predicts price fluctuations through linear regression pred

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Kho, Bong-Chan, and Jin-Woo Kim. "Trading Performance of Domestic and Foreign Investors in KOSPI200 Index Futures Markets." Journal of Derivatives and Quantitative Studies 13, no. 1 (2005): 1–28. http://dx.doi.org/10.1108/jdqs-01-2005-b0001.

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We analyze trading performance of domestic and foreign investors in the KOSPI200 index futures markets in Korea over various holding periods from each transaction time to 20 trading days. We find that foreign non-brokerage firms (including investment trust, pension fund, bank and insurance) trade at a disadvantageous price compared to domestic investors, i.e., buying at a higher price by about 5bp and selling at a lower price by about 6bp during the sample period (May 1996∼Dec. 1999). The magnitude of the disadvantageous price is close to the opportunity loss attributable to their intraday mom

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Plastun, Alex, Ahniia Havrylina, Liudmyla Sliusareva, Nataliya Strochenko, and Olga Zhmaylova. "Daily abnormal returns and price effects in the “passion investments” market." Investment Management and Financial Innovations 18, no. 4 (2021): 141–49. http://dx.doi.org/10.21511/imfi.18(4).2021.13.

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This paper explores price effects in the “passion investments” market after days with abnormal returns. To do this, daily prices for stamps and diamonds over the periods 1999–2021 and 1989–2021 are analyzed. The following hypothesis is tested: One-day abnormal returns create stable patterns in price behavior on the next day. Statistic tests (t-test, ANOVA, Mann–Whitney U test, modified cumulative abnormal returns approach, regression analysis with dummy variables) confirm the presence of price patterns related to extreme returns: price fluctuations on the day after extreme returns are higher t

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Yu, Jitong. "With initial exposure to equities, which strategy delivers a better return?" Advances in Economics, Management and Political Sciences 14, no. 1 (2023): 250–57. http://dx.doi.org/10.54254/2754-1169/14/20230832.

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More and more people are getting into the investment industry, which is not an easy job for some beginners. Complicated strategies and varied portfolios can often feel overwhelming and also lead investors into one misunderstanding after another. In order to reduce the hassle of investing, this article will pick the four most common and easy-to-understand strategies: momentum investing, comparing PEG ratios, merger arbitrage strategy, and market-neutral trade. From a version of beginner on how to start an investment portfolio. The background of the eight films selected in this paper will be int

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Yadav, Rakesh, Ameya Patil, Krishna Sarda, and Makarand Milind Bapat. "Does Contrarian Investing Beat the Conventional Strategies and the Index?" SocioEconomic Challenges 8, no. 2 (2024): 31–43. http://dx.doi.org/10.61093/sec.8(2).31-43.2024.

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Traditional momentum strategies on the stock market are implemented in accordance with the efficient market hypothesis and involve making investments in accordance with market trends. However, this hypothesis has been repeatedly criticized by supporters of behavioral finance, who allow the irrational nature of investment decisions, which led to the emergence of contrarian investment strategies, based on the overreaction hypothesis and the reversal effect (over a longer horizon, loser stocks outperform winners), according to which investments are made in opposite direction to the market, involv

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Octovian, Reza. "TECHNICAL ANALYSIS OF SHARE PRICE MOVEMENTS TO MAKE INVESTMENT DECISIONS IN TELECOMMUNICATIONS SUB-SECTOR SHARE LISTED ON THE INDONESIA STOCK EXCHANGE." International Journal of Economy, Education and Entrepreneurship (IJE3) 3, no. 1 (2023): 279–89. https://doi.org/10.53067/ije3.v3i1.143.

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The long-term strategy is generally used by investors who want to buy shares of a company with the aim of holding them for a long time. To determine the right momentum to buy or sell shares in the Telecommunications sub-sector, investors need to pay attention to several factors that influence stock prices, such as market conditions, company performance, government policies, and other factors that may affect the performance of the telecommunications industry as a whole. This study aims to find out when the momentum is right to buy or sell shares in the telecommunication sub-sector. This type of

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Chong, Fennee. "Housing Price and Interest Rate Hike: A Tale of Five Cities in Australia." Journal of Risk and Financial Management 16, no. 2 (2023): 61. http://dx.doi.org/10.3390/jrfm16020061.

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Australian housing prices are reported to be overvalued and unaffordable for the past two decades. Many researchers and practitioners have attributed the persistent growth in housing prices to the prolonged period of low borrowing costs. However, due to inflationary pressure, the Central Bank has raised its cash rate consecutively in recent months. This paper aims to examine whether interest rate rises affect housing price in different parts of Australia. Evidence generated from the analysis reported bipolar results between the large and smaller cities, whereby housing prices in Sydney and Mel

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OIKARINEN, Elias, and Felix Schindler. "MOMENTUM AND MEAN REVERSION IN REGIONAL HOUSING MARKETS: EVIDENCE FROM VARIANCE RATIO TESTS." International Journal of Strategic Property Management 19, no. 3 (2015): 220–34. http://dx.doi.org/10.3846/1648715x.2015.1031854.

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We study the persistence and reversion patterns of housing price growth by computing variance ratios applying Kim's (2006) Wild bootstrapping and using finnish data for the period 1987–2010. The momentum effect in housing price growth is found to be long-lasting and substantially greater in size than the eventual reversion. The results indicate that high-order autocorrelations are important concerning the long-horizon attractiveness of housing investments and that housing is a notably riskier asset in the long term than suggested by conventional portfolio analysis. The analysis further shows t

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Carneiro, Alexandre, and Ricardo Leal. "Naive portfolios, Brazilian stock funds, and individual investors." Academia Revista Latinoamericana de Administración 30, no. 3 (2017): 383–401. http://dx.doi.org/10.1108/arla-08-2016-0217.

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Purpose The purpose of this paper is to contrast three investment choices within the reach of individual investors: naive portfolios of Brazilian stocks; actively managed stock funds; and the Ibovespa index, which represents passive management as well as to offer insights on the performance of professional asset managers in this large emerging market. Design/methodology/approach Equally weighted portfolios contained between 5 and 30 stocks to keep transaction costs low. Stock selection used the Ibovespa constituents and considered value (dividend yield (DY) and price-to-book ratio), momentum (

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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.

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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

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Zhang, Zeyu. "Comparison of the Performances for the Mean-Reversion Strategy for Exchange Rate." BCP Business & Management 38 (March 2, 2023): 1811–17. http://dx.doi.org/10.54691/bcpbm.v38i.3971.

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Mean-reversion theory predicts that historical returns and asset price volatility will eventually return to the long-run mean or average level of the entire dataset. The mean-reversion strategy applies the fundamental idea of selling high and attracting low to stock market investment. Researchers studying the international exchange market have shown that foreign exchange rates display momentum and mean reversion behavior. This study aims to assess the effectiveness of the mean-reversion approach on exchange rates and improve it. Using historical data, the author assessed the mean-reversion met

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Putra, Romi Iriandi. "STRATEGI MEMBANGUN NATION BRANDING INDONESIA DALAM ASIAN GAMES JAKARTA-PALEMBANG 2018." SOURCE : Jurnal Ilmu Komunikasi 6, no. 1 (2020): 72. http://dx.doi.org/10.35308/source.v6i1.1794.

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The Asian Games 2018 is a sporting event held every 4 years, bringing together all Asian athletes from various branches to compete for the country's pride. Indonesia was chosen to be the host of the Asian games which made the right momentum to build Indonesia's nation branding. This study analyzes how the strategy of building nation branding on the momentum of Asian games 2018 Jakarta - Palembang. This research uses a descriptive qualitative method by describing related data. The results in this study show that the strategy used to build a nation branding in the Asian Games with media manageme

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Pratama, Muhammad Ari, and Kamaludin Kamaludin. "Analysis Of The Use Of Technical Indicators And Trendlines In Maximizing Stock Investment Profits In The Capital Market Indonesia." Manager Review 7, no. 1 (2025): 23–30. https://doi.org/10.33369/tmr.v7i1.41291.

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This study aims to analyze the effectiveness of stock investment in the Indonesian capital market using a descriptive quantitative approach. This study uses historical stock price data and various technical indicators, such as Exponential Moving Average (EMA), Stochastic Oscillators, and Trendlines, to determine the optimal investment strategy. By using a descriptive quantitative method, this study aims to investigate the status, condition, or predict future events factually, systematically, and accurately. This study uses data from 31 issuers that meet the Purposive sampling criteria, taken f

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Hyder, Kalim, and Qazi Masood Ahmed. "Why Private Investment In Pakistan Has Collapsed And How It Can Be Restored." LAHORE JOURNAL OF ECONOMICS 9, no. 1 (2004): 107–25. http://dx.doi.org/10.35536/lje.2004.v9.i1.a5.

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The purpose of this paper is to analyse the decline in private investment and formulate a comprehensive strategy to overcome this problem, which is the main cause of deceleration in the growth momentum of Pakistan’s economy. Due to lack of investor confidence, private investment has reached its lowest point in the recent economic history of the private sector led growth phase (1978 to 2002) in Pakistan. This paper argues that economic as well as non-economic factors are responsible for this declining investment. Economic policies are formulated in such a manner that the short-term objectives o

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Huang, Jian, and Huazhang Liu. "Examination and Modification of Multi-Factor Model in Explaining Stock Excess Return with Hybrid Approach in Empirical Study of Chinese Stock Market." Journal of Risk and Financial Management 12, no. 2 (2019): 91. http://dx.doi.org/10.3390/jrfm12020091.

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To search significant variables which can illustrate the abnormal return of stock price, this research is generally based on the Fama-French five-factor model to develop a multi-factor model. We evaluated the existing factors in the empirical study of Chinese stock market and examined for new factors to extend the model by OLS and ridge regression model. With data from 2007 to 2018, the regression analysis was conducted on 1097 stocks separately in the market with computer simulation based on Python. Moreover, we conducted research on factor cyclical pattern via chi-square test and developed a

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Panos, Evangelos, and Stavroula Margelou. "Long-Term Solar Photovoltaics Penetration in Single- and Two-Family Houses in Switzerland." Energies 12, no. 13 (2019): 2460. http://dx.doi.org/10.3390/en12132460.

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The Swiss energy strategy aims at increasing electricity generation from solar power by 2050, to fulfil Switzerland’s commitments in the Paris Agreement. However, the market of single- and two-family houses is characterized by low return rates for excess power injected to the grid, and the installation of rooftop solar photovoltaic (PV) is sensitive to financial incentives. We assess the drivers influencing the diffusion of rooftop solar PV systems until 2050, by employing an agent-based model. An agent is a single- or two-family house, and its decision to invest depends on the economic profit

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Coelho, Pedro, Luís Gomes, and Patrícia Ramos. "Asymmetric Wealth Effect between US Stock Markets and US Housing Market and European Stock Markets: Evidences from TAR and MTAR." Risks 11, no. 7 (2023): 124. http://dx.doi.org/10.3390/risks11070124.

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Evidence of the asymmetric wealth effect has important implications for investors and continues to merit research attention, not least because much of the evidence based on linear models has been refuted. Indeed, stock and house prices are influenced by economic activity and react non-linearly to positive/negative shocks. This problem justifies our research. The objective of this study is to examine evidence of cointegrations between the US housing and stock markets and between the US and European stock markets, given the international relevance of these exchanges. Using data from 1989:Q1 to 2

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Dash, Saumya Ranjan, and Jitendra Mahakud. "Market anomalies, asset pricing models, and stock returns: evidence from the Indian stock market." Journal of Asia Business Studies 9, no. 3 (2015): 306–28. http://dx.doi.org/10.1108/jabs-06-2014-0040.

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Purpose – This paper aims to investigate whether the use of conditional and unconditional Fama and French (1993) three-factor and Carhart (1997) four-factor asset pricing models (APMs) captures the role of asset pricing anomalies in the context of emerging stock market like India. Design/methodology/approach – The first step time series regression approach has been used to drive the risk-adjusted returns of individual securities. For examining the predictability of firm characteristics or asset pricing anomalies on the risk-adjusted returns of individual securities, the panel data estimation t

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Tang, Mingyu. "Research on Export Evaluation System of Guangdong Lixun Precision Industry." Journal of Economic Theory and Business Management 1, no. 3 (2024): 10–18. https://doi.org/10.5281/zenodo.11239392.

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Consumer electronics industry is not only the core field for China to move from a manufacturing power to a manufacturing power, but also has become a new growth driving force of China's foreign trade and export industry. In recent years, China's consumer electronics exports have shown a strong growth momentum, with an average annual growth rate of 7%. However, with the increasing competition in the consumer electronics industry and the continuous rise of commodity prices, China's consumer electronics foreign trade companies have also encountered unprecedented challenges in the overseas markets

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Kravets, Halyna. "The perspectives of public-private partnership implementation as the instrument of infrastructure development in Ukraine." Socio-Economic Problems of the Modern Period of Ukraine, no. 4(138) (2019): 9–13. http://dx.doi.org/10.36818/2071-4653-2019-4-2.

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Infrastructure development stands out among the prime goals of an economy’s social and economic trajectory. Being a major driving force of wellbeing, economic growth strongly depends on infrastructure. An increase in capital investments in infrastructure has a comprehensive positive effect on an economy. Public-private partnership (PPP) is of particular importance for an efficient economic development strategy, especially for that of an emerging economy. Providing for sustainable economic growth is a struggle for emerging economies due to a wide spectrum of negative features they possess such

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Pereira Mundkur, Jacqueline. "Qoruz: riding the influencer marketing wave." Emerald Emerging Markets Case Studies 13, no. 2 (2023): 1–20. http://dx.doi.org/10.1108/eemcs-12-2022-0524.

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Learning outcomes After working through the case and the assignment questions, students will be able to understand the current practices and importance of influencer marketing strategies within overall marketing strategies; appreciate both the debate and dissonance that surround influencer performance measures; outline the key elements of Qoruz.com’s investments and efforts that brought them success; understand the strategic intent and justify the logic of operationalisation of Qoruz.com by creating two different SBUs after they launched a vastly improved tech platform; and evaluate potential

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Arafat, Weal, Zhang Ya Bing, and Omar Al-Mutawakel. "Infrastructure Developing and Economic Growth in United Arab Emirates." Business and Economic Research 8, no. 1 (2017): 95. http://dx.doi.org/10.5296/ber.v8i1.12355.

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In the past thirty years, the United Arab Emirates non oil sector's contribution to GDP has been rising, the rise of a number of advantages of the industry, such as real estate, trade, tourism, construction, finance, shipping, processing industries. This led to the prosperity of the UAE economic market. UAE has a stable political environment and security community, and keep a good relationship with the major countries. Although the UAE is involved in some areas of conflict, but it has no impact on the overall situation. It has a wealth of oil and gas resources, is one of the most affluent coun

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Chuang, Hongwei, and Hwai-Chung Ho. "Implied Price Risk and Momentum Strategy*." Review of Finance 18, no. 2 (2013): 591–622. http://dx.doi.org/10.1093/rof/rft019.

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Forner, Carlos, Yaz Gülnur Muradoglu, and Sheeja Sivaprasad. "Enhancing momentum investment strategy using leverage." Journal of Forecasting 37, no. 5 (2018): 573–88. http://dx.doi.org/10.1002/for.2522.

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Liao, Li-Chuan, Tzu-Pu Chang, and Ping-Huang Wang. "The Effect of the Movement in 52-Week High on Momentum Profit: The Evidence from Taiwan." International Journal of Business and Economic Sciences Applied Research 16, no. 1 (2023): 71–86. http://dx.doi.org/10.25103/ijbesar.161.07.

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Purpose: This paper aims to examine the impact of price movements in 52-week highs on a 52-week high momentum strategy. This study refers to the upward or downward movement in 52- week highs as an updating effect and determines how this effect influences the profitability of the original 52-week high momentum strategy. Design/methodology/approach: This paper decomposes the ratio of stock price to 52-week high into denoted two components: price change and updating components. We construct two momentum strategies, each focusing on adjusting either the price change or the updating component. Addi

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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.

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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

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Zhang, Jin, Yuxiu Zhang, and Yongqi Dong. "A New Momentum Strategy Based on Chinese Securities Market." International Journal of Business and Management 14, no. 12 (2019): 90. http://dx.doi.org/10.5539/ijbm.v14n12p90.

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Facing the current gaps with regard to the momentum effect in Chinese securities market, a momentum strategy was constructed to compare the securities market price under the effective market theory with under the non-effective market theory by the Hushen 300 index from 2006 to 2015 and a stock price residual measurement model. An important result was that the root cause of the momentum effect was systematic irrational behavior. On this basis, a new momentum strategy was constructed based on RSP (Residual of Stock Price), and the performance of that strategy was tested in different ranking and

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Kim, Somyung, and Kiyool Ohk. "A Study on the Relationship between Stock Return and Momentum by Volume and Price." Korean Data Analysis Society 24, no. 6 (2022): 2279–88. http://dx.doi.org/10.37727/jkdas.2022.24.6.2279.

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According to behavioral finance, investors make investment decisions by recognizing past information as useful information. Investment decisions based on past information cause an overreaction to stock prices. According to previous studies on the Korean stock market, momentum based on trading volume and price information has a significant positive influence on stock returns. In this study, the Korean stock market is divided into the securities stock market and the KOSDAQ market to investigate which market the existing results are due to. Furthermore, an empirical analysis is conducted on the i

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Choi, Jaehyung. "Physical approach to price momentum and its application to momentum strategy." Physica A: Statistical Mechanics and its Applications 415 (December 2014): 61–72. http://dx.doi.org/10.1016/j.physa.2014.07.075.

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Hwang, Jun Ho. "Profit Analysis of Short Term Weekly Momentum Strategy in the Korean Stock Market." Journal of Derivatives and Quantitative Studies 23, no. 4 (2015): 543–69. http://dx.doi.org/10.1108/jdqs-04-2015-b0003.

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This paper shows the momentum strategies that selected stocks based on their returns from a past 1 week generate long lasting significant abnormal returns. I observe the negative momentum profit from 1 week momentum portfolio and it disappears when the holding period is longer than 22 week. In addition, I empirically shows that the weekly momentum strategies are able to generate negative profits also after the financial crisis. it is opposite result with literature, reported positive momentum after the financial crisis, I realize this result due to the characteristic of short term weekly momen

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Chordia, Tarun, and Lakshmanan Shivakumar. "Earnings and price momentum." Journal of Financial Economics 80, no. 3 (2006): 627–56. http://dx.doi.org/10.1016/j.jfineco.2005.05.005.

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Ovechkin, Danila, Liudmila Reshetnikova, and Natalia Boldyreva. "Evaluating the Effectiveness of the Momentum Strategy for Responsible Investment in the Russian Stock Market." SHS Web of Conferences 93 (2021): 02020. http://dx.doi.org/10.1051/shsconf/20219302020.

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In modern conditions, the integration of ESG-criteria into investment decisions of asset managers is considered as a key factor in sustainable economic development. We examine the effectiveness of the Momentum-ESG strategy based on the Responsibility and Openness Index in comparison with the Momentum strategy, which is based on the Moscow Exchange Broad Market Index, since December 2011 to December 2020. We propose an algorithm for integrating ESG criteria into momentum strategy. We select "winners" and "losers" stocks based on their monthly return. The Momentum-ESG strategy has a high Sharpe

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Huang, Yanhao. "Optimization of ETF Fund Selection Strategy Based on Machine Learning Scoring Model." International Journal of Global Economics and Management 3, no. 3 (2024): 301–8. http://dx.doi.org/10.62051/ijgem.v3n3.34.

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This study aims to optimize the ETF fund selection strategy. By combining the time-series momentum strategy and the machine learning scoring model, a systematic analysis and empirical research on the main stock ETFs and cross-border ETFs in the Chinese market are conducted. We constructed a combination strategy that combines momentum indicators and machine learning scoring, and conducted a backtest. The results show that the combination strategy is significantly better than the momentum strategy or machine learning model alone and the benchmark index in terms of annualized return, maximum draw

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