momentum strategiesmomentum investingtrend followingMomentum is the premier market anomaly. It is nearly universal in its applicability. This paper examines multi-asset momentum with respect to what can make it mSocial Science Electronic Publishing
While new studies on momentum are consistently published, the current evidence is clear: momentum is thepremiermarket anomaly. Antonacci, G., (2012). “Risk Premia Harvesting Through Dual Momentum”, Portfolio Management Associates. Asness, Clifford S., John M. Liew, and Ross L. Stevens. “Par...
Theory predicts that in the presence of incomplete information, underdiversified investors will demand idiosyncratic risk premia (IRP) as compensation for idiosyncratic volatility (IV). We estimate IV and IRP at the individual stock level and document the extent to which momentum profits can be explai...
Antonacci, G., "Risk Premia Harvesting Through Momentum", Portfolio Management Associates 2012.Risk Premia Harvesting Through Momentum", Portfolio Management Associates - Antonacci - 2012Antonacci, G., "Risk Premia Harvesting Through Momentum", Portfolio Management ...
2013.Risk Premia Harvesting Through Dual Momentum. Portfolio Management Associates, LLC. Version: January 28th, 2013.Antonacci, Gary, 2012, "Risk Premia Harvesting Through Dual Momentum," working paper, Portfolio Management Associates, LLC, working paper...
Theory predicts that in the presence of incomplete information, underdiversified investors will demand idiosyncratic risk premia (IRP) as compensation for idiosyncratic volatility (IV). We estimate IV and IRP at the individual stock level and document the extent to which momentum profits can be ...
Tobin- Q, Liquidity and Momentum risk-premia: A Demonstration of Weighted Least Squares Regression Approachdoi:10.33215/vm172083RISK premiumsPORTFOLIO management (Investments)LIQUIDITY (Economics)PORTFOLIO managers (Investments)LEAST squaresINVESTMENT policyPurpose-The basic purpose of the study...
Momentum in stock market returns: Implications for risk premia on foreign currencies.Momentum in foreign stock market returns is exploitable as signal of currency excess returns. Past stock market winner currencies offer higher returns than past stock market loser currencies. This finding is unrelated ...
momentumrisk premiastock market returnsMomentum in foreign stock market returns signals currency excess returns. Portfolios of currencies from past stock market winner countries offer higher risk premia than past stock market loser currency portfolios. This pattern is unrelated to the currencies' forward ...
risk premiaUIPMomentum in developed countries' stock market index returns can be exploited to form portfolios of excess returns on foreign currencies as relatively high past foreign stock market returns signal a foreign currency appreciation. Two risk factors extracted from the stock index momentum ...