Winners-minus-adjusted-losers: optimizing momentum payoffs

Detalhes bibliográficos
Autor(a) principal: Keller, Jan Florens
Data de Publicação: 2019
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/73605
Resumo: While being considered one of the most pervasive and return-promising anomalies across various asset classes Momentum has strained investors with extreme crashes in the past. A proposed ex-ante implementable strategy based on key-findings in the available literature about the characteristics, patterns and predictability of Momentum crashes more than doubles the Sharpe ratio of conventional Momentum. More importantly it significantly reduces the crash risk by adjusting the exposure to those stocks being mostly responsible for these crashes. The strategy yields positive results during a period from 1964 to 2018 and has been tested in various subsamples.
id RCAP_3fcdb9ec51a2a94093a7a4d5da07fee5
oai_identifier_str oai:run.unl.pt:10362/73605
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Winners-minus-adjusted-losers: optimizing momentum payoffsMomentumCrash riskMarket anomaliesDomínio/Área Científica::Ciências Sociais::Economia e GestãoWhile being considered one of the most pervasive and return-promising anomalies across various asset classes Momentum has strained investors with extreme crashes in the past. A proposed ex-ante implementable strategy based on key-findings in the available literature about the characteristics, patterns and predictability of Momentum crashes more than doubles the Sharpe ratio of conventional Momentum. More importantly it significantly reduces the crash risk by adjusting the exposure to those stocks being mostly responsible for these crashes. The strategy yields positive results during a period from 1964 to 2018 and has been tested in various subsamples.Rodrigues, Paulo Manuel MarquesRUNKeller, Jan Florens2019-06-25T10:50:47Z2019-01-142019-01-14T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/73605TID:202225771enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:34:05Zoai:run.unl.pt:10362/73605Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:35:21.417429Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Winners-minus-adjusted-losers: optimizing momentum payoffs
title Winners-minus-adjusted-losers: optimizing momentum payoffs
spellingShingle Winners-minus-adjusted-losers: optimizing momentum payoffs
Keller, Jan Florens
Momentum
Crash risk
Market anomalies
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Winners-minus-adjusted-losers: optimizing momentum payoffs
title_full Winners-minus-adjusted-losers: optimizing momentum payoffs
title_fullStr Winners-minus-adjusted-losers: optimizing momentum payoffs
title_full_unstemmed Winners-minus-adjusted-losers: optimizing momentum payoffs
title_sort Winners-minus-adjusted-losers: optimizing momentum payoffs
author Keller, Jan Florens
author_facet Keller, Jan Florens
author_role author
dc.contributor.none.fl_str_mv Rodrigues, Paulo Manuel Marques
RUN
dc.contributor.author.fl_str_mv Keller, Jan Florens
dc.subject.por.fl_str_mv Momentum
Crash risk
Market anomalies
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Momentum
Crash risk
Market anomalies
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description While being considered one of the most pervasive and return-promising anomalies across various asset classes Momentum has strained investors with extreme crashes in the past. A proposed ex-ante implementable strategy based on key-findings in the available literature about the characteristics, patterns and predictability of Momentum crashes more than doubles the Sharpe ratio of conventional Momentum. More importantly it significantly reduces the crash risk by adjusting the exposure to those stocks being mostly responsible for these crashes. The strategy yields positive results during a period from 1964 to 2018 and has been tested in various subsamples.
publishDate 2019
dc.date.none.fl_str_mv 2019-06-25T10:50:47Z
2019-01-14
2019-01-14T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/73605
TID:202225771
url http://hdl.handle.net/10362/73605
identifier_str_mv TID:202225771
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799137974662725632

Registros relacionados