Evaluation of the Momentum Strategy on the German Stock Exchange

Evaluation of the Momentum Strategy on the German Stock Exchange PDF

Author: Eugen Stumpf

Publisher: GRIN Verlag

Published: 2013-07-26

Total Pages: 98

ISBN-13: 3656469709

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Master'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?

Price-Based Investment Strategies

Price-Based Investment Strategies PDF

Author: Adam Zaremba

Publisher: Springer

Published: 2018-07-25

Total Pages: 302

ISBN-13: 3319915304

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This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.

Market Momentum

Market Momentum PDF

Author: Stephen Satchell

Publisher: John Wiley & Sons

Published: 2020-12-02

Total Pages: 448

ISBN-13: 1119599326

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A one-of-a-kind reference guide covering the behavioral and statistical explanations for market momentum and the implementation of momentum trading strategies Market Momentum: Theory and Practice is a thorough, how-to reference guide for a full range of financial professionals and students. It examines the behavioral and statistical causes of market momentum while also exploring the practical side of implementing related strategies. The phenomenon of momentum in finance occurs when past high returns are followed by subsequent high returns, and past low returns are followed by subsequent low returns. Market Momentum provides a detailed introduction to the financial topic, while examining existing literature. Recent academic and practitioner research is included, offering a more up-to-date perspective. What type of book is Market Momentum and how does it serve a range of readers’ interests and needs? A holistic market momentum guide for industry professionals, asset managers, risk managers, firm managers, plus hedge fund and commodity trading advisors Advanced text to help graduate students in finance, economics, and mathematics further develop their funds management skills Useful resource for financial practitioners who want to implement momentum trading strategies Reference book providing behavioral and statistical explanations for market momentum Due to claims that the phenomenon of momentum goes against the Efficient Markets Hypothesis, behavioral economists have studied the topic in-depth. However, many books published on the subject are written to provide advice on how to make money. In contrast, Market Momentum offers a comprehensive approach to the topic, which makes it a valuable resource for both investment professionals and higher-level finance students. The contributors address momentum theory and practice, while also offering trading strategies that practitioners can study.

Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk

Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk PDF

Author: Gary Antonacci

Publisher: McGraw Hill Professional

Published: 2014-11-21

Total Pages: 256

ISBN-13: 0071849459

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The investing strategy that famously generates higher returns with substantially reduced risk--presented by the investor who invented it "A treasure of well researched momentum-driven investing processes." Gregory L. Morris, Chief Technical Analyst and Chairman, Investment Committee of Stadion Money Management, LLC, and author of Investing with the Trend Dual Momentum Investing details the author’s own momentum investing method that combines U.S. stock, world stock, and aggregate bond indices--a formula proven to dramatically increase profits while lowering risk. Antonacci reveals how momentum investors could have achieved long-run returns nearly twice as high as the stock market over the past 40 years, while avoiding or minimizing bear market losses--and he provides the information and insight investors need to achieve such success going forward. His methodology is designed to pick up on major changes in relative strength and market trend. Gary Antonacci has over 30 years experience as an investment professional focusing on under exploited investment opportunities. In 1990, he founded Portfolio Management Consultants, which advises private and institutional investors on asset allocation, portfolio optimization, and advanced momentum strategies. He writes and runs the popular blog and website optimalmomentum.com. Antonacci earned his MBA at Harvard.

Emerging Markets and Financial Resilience

Emerging Markets and Financial Resilience PDF

Author: C. Hooy

Publisher: Palgrave Macmillan

Published: 2013-08-23

Total Pages: 0

ISBN-13: 9781137266606

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Emerging Markets and Financial Resilience presents a picture of finance research. The issue of financial resilience in emerging markets is apt and timely as emerging countries are faced with the challenge of finding ways of sustaining their current trajectory in shaping the global financial architecture to ensure sustainable growth.

Momentum Strategies

Momentum Strategies PDF

Author: Sonia Azri

Publisher:

Published: 2017

Total Pages: 19

ISBN-13:

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We examine the profitability of momentum strategies in the Tunisian stock market over the period (January 1998-December 2007). We adopt the methodology of Jegadeesh and Titman (1993). The results show that momentum strategies are profitable. We use the methodology of Lo and Mackinlay (1990) and the methodology of Jegadeesh and Titman (1995) to decompose the profits. The results confirm the hypothesis of risk's recompense of profits. The profitability of momentum strategies not implies the inefficiency of stock market. It than implies the failure of stock pricing model. However, we find that the addition of the momentum factor and a sentiment variable to three factor model of Fama and French, improves the chronological description of portfolio returns.

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