Momentum predictability in the frequency domain
Autor(a) principal: | |
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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/10400.14/29408 |
Resumo: | In this dissertation I extend the analysis of Wang and Xu (2015) of momentum returns predictability to the frequency domain. The extensive literature on momentum has been essentially focused on what causes momentum, the description of momentum across industry sectors and countries and on its risk management. The very few works that addressed the topic of predictability of momentum returns, studied the role of investors psychological biases, market volatility and market liquidity but none of them exploited the frequency domain analysis of the predictors that have been used. I provide evidence that replacing the original predictors used in Wang and Xu (2015) by their frequency components delivers improved predictability. |
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Momentum predictability in the frequency domainMomentum predictabilityFrequency domainWaveletsDomínio/Área Científica::Ciências Sociais::Economia e GestãoIn this dissertation I extend the analysis of Wang and Xu (2015) of momentum returns predictability to the frequency domain. The extensive literature on momentum has been essentially focused on what causes momentum, the description of momentum across industry sectors and countries and on its risk management. The very few works that addressed the topic of predictability of momentum returns, studied the role of investors psychological biases, market volatility and market liquidity but none of them exploited the frequency domain analysis of the predictors that have been used. I provide evidence that replacing the original predictors used in Wang and Xu (2015) by their frequency components delivers improved predictability.Faria, Gonçalo Manuel A. Pereira Oliveira deVeritati - Repositório Institucional da Universidade Católica PortuguesaCaeiro, Francisco Miguel Vilamoura de Azeredo2020-01-31T11:18:39Z2018-06-2720182018-06-27T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/29408TID:202101398enginfo: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:RCAAP2023-07-12T17:34:57Zoai:repositorio.ucp.pt:10400.14/29408Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:23:36.898992Repositório 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 predictability in the frequency domain |
title |
Momentum predictability in the frequency domain |
spellingShingle |
Momentum predictability in the frequency domain Caeiro, Francisco Miguel Vilamoura de Azeredo Momentum predictability Frequency domain Wavelets Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Momentum predictability in the frequency domain |
title_full |
Momentum predictability in the frequency domain |
title_fullStr |
Momentum predictability in the frequency domain |
title_full_unstemmed |
Momentum predictability in the frequency domain |
title_sort |
Momentum predictability in the frequency domain |
author |
Caeiro, Francisco Miguel Vilamoura de Azeredo |
author_facet |
Caeiro, Francisco Miguel Vilamoura de Azeredo |
author_role |
author |
dc.contributor.none.fl_str_mv |
Faria, Gonçalo Manuel A. Pereira Oliveira de Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
Caeiro, Francisco Miguel Vilamoura de Azeredo |
dc.subject.por.fl_str_mv |
Momentum predictability Frequency domain Wavelets Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Momentum predictability Frequency domain Wavelets Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
In this dissertation I extend the analysis of Wang and Xu (2015) of momentum returns predictability to the frequency domain. The extensive literature on momentum has been essentially focused on what causes momentum, the description of momentum across industry sectors and countries and on its risk management. The very few works that addressed the topic of predictability of momentum returns, studied the role of investors psychological biases, market volatility and market liquidity but none of them exploited the frequency domain analysis of the predictors that have been used. I provide evidence that replacing the original predictors used in Wang and Xu (2015) by their frequency components delivers improved predictability. |
publishDate |
2018 |
dc.date.none.fl_str_mv |
2018-06-27 2018 2018-06-27T00:00:00Z 2020-01-31T11:18:39Z |
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/10400.14/29408 TID:202101398 |
url |
http://hdl.handle.net/10400.14/29408 |
identifier_str_mv |
TID:202101398 |
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 |
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1799131944736260096 |