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Produktbild: Market Momentum

Market Momentum Theory and Practice

89,99 €

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Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

15.10.2020

Verlag

John Wiley & Sons Inc

Seitenzahl

432

Maße (L/B/H)

24,7/17,3/3,4 cm

Gewicht

944 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-1-119-59932-6

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

15.10.2020

Verlag

John Wiley & Sons Inc

Seitenzahl

432

Maße (L/B/H)

24,7/17,3/3,4 cm

Gewicht

944 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-1-119-59932-6

Herstelleradresse

Libri GmbH
Europaallee 1
36244 Bad Hersfeld
DE

Email: GPSR Kontakt

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  • Produktbild: Market Momentum

  • Contributors xvii

    Introduction xxiii

    Chapter 1 Behavioural Finance and Momentum 1

    1.1 Introduction 1

    1.2 The failure of risk-based explanations 3

    1.3 Behavioural models of momentum 3

    1.4 Slow information diffusion 5

    1.5 Patterns in information arrival 6

    1.6 The 52-week high and capital gains overhang 8

    1.7 Institutional trading and momentum profits 10

    1.8 Sentiment and momentum 11

    1.9 Discussion 12

    Chapter 2 A Taxonomy of Momentum Strategies 16

    2.1 Introduction 16

    2.2 Relative strength strategies 17

    2.3 Time-series momentum strategies 18

    2.4 Cross-sectional momentum strategies 20

    2.5 Cross-asset momentum 27

    Chapter 3 Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations 30

    3.1 Data Description 34

    3.2 Methodology 39

    3.3 Turnover Reduction 42

    3.4 The Recent Underperformance of Time-series Momentum Strategies and the Effect of Pairwise Correlations 52

    3.5 Trading Costs Implications 58

    3.6 Concluding Remarks 63

    Chapter 4 Risk and Return of Momentum in Developed Equity Markets 68

    4.1 Introduction 68

    4.2 Definition of momentum 69

    4.3 Simple factor portfolios 71

    4.4 Multifactor structure 73

    4.5 Pure factor portfolios 75

    4.6 Empirical results: momentum performance 76

    4.7 Empirical results: momentum risk 80

    4.8 Diversification benefits 83

    4.9 Summary 84

    Chapter 5 Momentum Across Asset Classes 86

    5.1 Measuring momentum 87

    5.2 Framework: equity momentum and corporate credit risk 87

    5.3 Empirical studies: momentum and credit risk 89

    5.4 Our research on equity momentum and bond returns 91

    5.5 Geographically bound assets 92

    5.6 Momentum in other illiquid assets 94

    5.7 Cross-asset class effects of commodities 95

    5.8 Momentum effects and taxable investors 95

    5.9 Active management and momentum effects 96

    5.10 Conclusions 98

    Chapter 6 Momentum in Momentum ETFs 103

    6.1 Introduction 103

    6.2 Why are momentum ETFs so popular? 104

    6.3 What is in a momentum ETF? 112

    6.4 Which factors drive active risk for momentum ETFs? 114

    6.5 From constrained to unconstrained strategies 117

    6.6 Conclusions 119

    Chapter 7 CTA Momentum 120

    7.1 Introduction 120

    7.2 Time-series momentum (TSM) 121

    7.3 Strategy return models 127

    7.4 Time-series momentum 131

    7.5 TSM meets CSM with two instruments 133

    7.6 Conclusions 135

    7.A.1 Appendix A: Correlation parameter restrictions 136

    7.A.2 Appendix B: Proofs of variances and covariance 138

    Chapter 8 Overreaction and Faint Praise - Short-Term Momentum in Contemporary Art 141

    8.1 Introduction 141

    8.2 Contemporary art market ecosystem 144

    8.3 ArtForecaster data 145

    8.4 Systematic forecasting strategies 149

    8.5 Conclusions 157

    Chapter 9 Volatility-Managed Momentum 160

    9.1 Introduction 160

    9.2 Data and momentum portfolio construction 161

    9.3 Volatility-managed momentum strategies 162

    9.4 Some potential practical issues 166

    9.5 The best volatility measure for momentum? 170

    9.6 Concluding remarks 172

    Chapter 10 Theoretical Analysis of the Fama-French Portfolios 174

    10.1 Introduction 174

    10.2 Strategies, notation and preliminaries 179

    10.3 Distribution of Fama-French factors 182

    10.4 Fama-French factors with sequential sorting 189

    10.5 Conclusion 194

    10.A.1 Proof of Lemma 1 194

    10.A.2 Proof of Theorem 3 195

    10.A.3 Proof of Theorem 4 196

    Chapter 11 Exploiting the Countercyclical Properties of Momentum and other Factor Premia - A Cross-Country Perspective 199

    11.1 Introduction 199

    11.2 Methodology 200

    11.3 Alternative investment strategies 206

    11.4 Quantifying the utility of risk premia strategies 211

    11.5 Summary and conclusions 215

    Chapter 12 Time-Series Variation in Factor Premia: The Influence of the Business Cycle 218

    12.1 Introduction 218

    12.2 Factors and factor rotation 219

    12.3 Factors and the business cycle 220

    12.4 Data and summary statistics 222

    12.5 Empirical results 224

    12.6 Conclusions 234

    12.A.1 Derivation of cash-flow news series 234

    12.A.2 US leading economic indicator and global risk appetite indicator 236

    12.A.3 Dynamic multifactor strategy: extension to other market segments and regions 236

    Chapter 13 Where Goes Momentum? 243

    13.1 Introduction 243

    13.2 Momentum strategies 245

    13.3 Data 246

    13.4 Method 247

    13.5 Results 252

    13.6 Risk-adjusted after-transaction costs performance of time-series and cross-sectional momentum strategies 260

    13.7 Conclusions 269

    Chapter 14 Time-Series Momentum in Credit: Machine Learning Approach 273

    14.1 Introduction 273

    14.2 The philosophy of artificial intelligence 274

    14.3 Vanilla time-series momentum 277

    14.4 Generalized linear models (GLM) - Lasso, Ridge and Elastic Net 280

    14.5 Determining optimal hyper-parameters via cross-validation 283

    14.6 Results: generalized linear models 284

    14.7 Random forests 284

    14.8 Neural networks 289

    14.9 Results and comments 291

    14.10 Conclusion 293

    Chapter 15 Momentum and Business Cycles 297

    15.1 Introduction 297

    15.2 Momentum, business cycles and realised market return 298

    15.3 Momentum and expected market risk premiums 301

    15.4 Momentum, overconfidence and sentiment 309

    15.5 Summary and conclusions 311

    Chapter 16 Momentum as a Fundamental Risk Factor 314

    16.1 Introduction 314

    16.2 Defining momentum as a strategy 316

    16.3 A new framework 318

    16.4 From realised returns to forecast returns 319

    16.5 Examining behaviour 319

    16.6 The momentum trader as a bystander 323

    16.7 Extending the model 325

    16.8 Short-term versus long-term investors 326

    16.9 The impact of the short-term investor 330

    16.10 The momentum risk premium 332

    16.11 The Apollo asset pricing model 334

    16.12 Momentum alpha 335

    16.13 Beta momentum 339

    16.14 Beta signal 340

    16.15 Momentum strategies 341

    16.16 Results 347

    16.17 Analysis of results 353

    16.18 Conclusions 355

    Chapter 17 Momentum, Value and Carry Commodity Factors for Multi-Asset Portfolios 359

    17.1 Introduction 359

    17.2 Methodology and key research questions 361

    17.3 Commodity factors - insights from the historical data 362

    17.4 Wealth accumulation strategies and rebalancing considerations 366

    17.5 Wealth decumulation strategies 373

    17.6 Long/short versus long only strategies 375

    17.7 Completion portfolios versus maximum Sharpe ratio portfolios 379

    17.8 Conclusions 380

    17.A.1 Momentum factor 381

    17.A.2 Carry factor 381

    17.A.3 Value factor 382

    17.A.4 From commodity factors to factor portfolios 383

    17.A.5 Factor construction 383

    Index 387