A upside/downside perspective to momentum strategies in the S&P 500: the development of a novel volatility model for stock selection

Detalhes bibliográficos
Autor(a) principal: Fornaciari, Tommaso Elio
Data de Publicação: 2017
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/26194
Resumo: The analysis brings forward a novel empirical model that accounts for upside-downside beta and introduces VIX as a measure of market volatility with the intention of improving the flaws of momentum strategies through a different stock selection process. The study focuses on the constituents of the S&P500 in the period 1985-2016. The study reveals that this strategy displays low volatility and other relative advantages in comparison to the market and to the classical price momentum; however it is significantly not profitable. The unprofitability of the latter is a stimulus to investigate a related stock selection based only on the excess returns generated by the individual assets prior to the investment period.
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spelling A upside/downside perspective to momentum strategies in the S&P 500: the development of a novel volatility model for stock selectionMomentumUpside betaDownside betaVolatilityDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe analysis brings forward a novel empirical model that accounts for upside-downside beta and introduces VIX as a measure of market volatility with the intention of improving the flaws of momentum strategies through a different stock selection process. The study focuses on the constituents of the S&P500 in the period 1985-2016. The study reveals that this strategy displays low volatility and other relative advantages in comparison to the market and to the classical price momentum; however it is significantly not profitable. The unprofitability of the latter is a stimulus to investigate a related stock selection based only on the excess returns generated by the individual assets prior to the investment period.Anjos, FernandoRUNFornaciari, Tommaso Elio2017-12-05T10:56:21Z2017-01-202017-01-20T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/26194TID:201716585enginfo: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:RCAAP2024-03-11T04:13:46Zoai:run.unl.pt:10362/26194Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:28:27.084974Repositório 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 A upside/downside perspective to momentum strategies in the S&P 500: the development of a novel volatility model for stock selection
title A upside/downside perspective to momentum strategies in the S&P 500: the development of a novel volatility model for stock selection
spellingShingle A upside/downside perspective to momentum strategies in the S&P 500: the development of a novel volatility model for stock selection
Fornaciari, Tommaso Elio
Momentum
Upside beta
Downside beta
Volatility
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short A upside/downside perspective to momentum strategies in the S&P 500: the development of a novel volatility model for stock selection
title_full A upside/downside perspective to momentum strategies in the S&P 500: the development of a novel volatility model for stock selection
title_fullStr A upside/downside perspective to momentum strategies in the S&P 500: the development of a novel volatility model for stock selection
title_full_unstemmed A upside/downside perspective to momentum strategies in the S&P 500: the development of a novel volatility model for stock selection
title_sort A upside/downside perspective to momentum strategies in the S&P 500: the development of a novel volatility model for stock selection
author Fornaciari, Tommaso Elio
author_facet Fornaciari, Tommaso Elio
author_role author
dc.contributor.none.fl_str_mv Anjos, Fernando
RUN
dc.contributor.author.fl_str_mv Fornaciari, Tommaso Elio
dc.subject.por.fl_str_mv Momentum
Upside beta
Downside beta
Volatility
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Momentum
Upside beta
Downside beta
Volatility
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description The analysis brings forward a novel empirical model that accounts for upside-downside beta and introduces VIX as a measure of market volatility with the intention of improving the flaws of momentum strategies through a different stock selection process. The study focuses on the constituents of the S&P500 in the period 1985-2016. The study reveals that this strategy displays low volatility and other relative advantages in comparison to the market and to the classical price momentum; however it is significantly not profitable. The unprofitability of the latter is a stimulus to investigate a related stock selection based only on the excess returns generated by the individual assets prior to the investment period.
publishDate 2017
dc.date.none.fl_str_mv 2017-12-05T10:56:21Z
2017-01-20
2017-01-20T00:00:00Z
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/10362/26194
TID:201716585
url http://hdl.handle.net/10362/26194
identifier_str_mv TID:201716585
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
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