Momentum investing: a stylized model

Detalhes bibliográficos
Autor(a) principal: Martins, João Francisco Pólvora
Data de Publicação: 2018
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/35443
Resumo: Momentum is one of the most important anomalies in the financial world, heavily used by investors, from hedge funds to individuals. Stock returns have other characteristics, such as reversals. This study proposes accounting for that to improve momentum, while also studying volatility reduction approaches. The developed model leads to a much higher Sharpe ratio and alpha for the US market and lower risk than unrestricted momentum. An improvement of this magnitude could affect investors significantly. However, the increase in turnover is so large that there is no significant difference in returns to unrestricted momentum after monthly trading costs of 1.1%.
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spelling Momentum investing: a stylized modelMomentumReversalVolatilityMarket anomalyDomínio/Área Científica::Ciências Sociais::Economia e GestãoMomentum is one of the most important anomalies in the financial world, heavily used by investors, from hedge funds to individuals. Stock returns have other characteristics, such as reversals. This study proposes accounting for that to improve momentum, while also studying volatility reduction approaches. The developed model leads to a much higher Sharpe ratio and alpha for the US market and lower risk than unrestricted momentum. An improvement of this magnitude could affect investors significantly. However, the increase in turnover is so large that there is no significant difference in returns to unrestricted momentum after monthly trading costs of 1.1%.Anjos, FernandoRUNMartins, João Francisco Pólvora2018-04-27T10:19:30Z2018-01-182018-01-18T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/35443TID:201861798enginfo: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:RCAAP2024-03-11T04:19:20Zoai:run.unl.pt:10362/35443Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:30:18.353470Repositório 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 Momentum investing: a stylized model
title Momentum investing: a stylized model
spellingShingle Momentum investing: a stylized model
Martins, João Francisco Pólvora
Momentum
Reversal
Volatility
Market anomaly
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Momentum investing: a stylized model
title_full Momentum investing: a stylized model
title_fullStr Momentum investing: a stylized model
title_full_unstemmed Momentum investing: a stylized model
title_sort Momentum investing: a stylized model
author Martins, João Francisco Pólvora
author_facet Martins, João Francisco Pólvora
author_role author
dc.contributor.none.fl_str_mv Anjos, Fernando
RUN
dc.contributor.author.fl_str_mv Martins, João Francisco Pólvora
dc.subject.por.fl_str_mv Momentum
Reversal
Volatility
Market anomaly
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Momentum
Reversal
Volatility
Market anomaly
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description Momentum is one of the most important anomalies in the financial world, heavily used by investors, from hedge funds to individuals. Stock returns have other characteristics, such as reversals. This study proposes accounting for that to improve momentum, while also studying volatility reduction approaches. The developed model leads to a much higher Sharpe ratio and alpha for the US market and lower risk than unrestricted momentum. An improvement of this magnitude could affect investors significantly. However, the increase in turnover is so large that there is no significant difference in returns to unrestricted momentum after monthly trading costs of 1.1%.
publishDate 2018
dc.date.none.fl_str_mv 2018-04-27T10:19:30Z
2018-01-18
2018-01-18T00:00:00Z
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/10362/35443
TID:201861798
url http://hdl.handle.net/10362/35443
identifier_str_mv TID:201861798
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
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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
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