Although there is a large literature documenting the profitability of momentum strategies, their implementation is afflicted with many difficulties. Most i
High Sharpe ratios are obtained under our risk-adjusted strategies. It is also found that stock market crashes have no apparent impact on our momentum profits.doi:10.33736/ijbs.545.2017Terence Tai-Leung ChongQing HeHugo Tak-Sang IpSiu, Jonathan T....
Ammann, Manuel ; Moellenbeck, Marcel ; Schmid, Markus M.: Feasible Momentum Strategies in the US Stock Market: Working Paper. 2010Ammann, M., Moellenbeck, M., & Schmid, M. (2011). Feasible momentum strategies in the US stock market. Journal of Asset Management, 11, 362-374....
Notes The phrase “global stock market” is used to generalize for stock markets all over the world. In fact, of course, stock markets are individual exchanges in individual countries. References Ahn, D.H., J. Conrad and R.F. Dittmar . 2003. “Risk Adjustment and Trading Strategies.” ...
Learn why chasing the U.S. stock market’s momentum worked for investors in 2024 but may not be the right strategy if financial conditions tighten in 2025.
Contrarian and momentum strategies in the China stock market: 1993–2000 Using data on “A” shares, accessible only to local investors in China, we find statistically significant abnormal profits for some short-horizon contrari... LSX Ni - Pacific-Basin Finance Journal 被引量: 451发表: 2002年...
We only examine the domestic A share market (shares available to domestic investors Findings This section reports the returns for different momentum and volume-based momentum strategies. We confirm that there is strong momentum behaviour in the stock returns, which generates substantial momentum profits...
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Jegadeesh 和 Titman(1993),Returns to buying winners and selling losers: Implications for stock market efficiency, The Journal of Finance Jegadeesh 和 Titman(2001),Profitability of momentum strategies: An evaluation of alternative explanations, The Journal of Finance Jusselin等(2017),Understanding the mo...
2. 策略 ...最差时买进有价证券,因为此时的价格最便宜,而与顺向策略(Momentum Strategies)一样,但它也有它的缺点,它的最大缺 … davidli.pixnet.net|基于16个网页 3. 动量投资策略 因此,买入价格开始上涨的证券,卖出价格开始下跌的证券的动量投资策略(Momentum Strategies)就成为投资基金可以选择 … ...