Author : Changmei Zhang
Publisher :
Page : 186 pages
File Size : 15,39 MB
Release : 2010
Category : Foreign exchange market
ISBN :
Author : Monica Widyassari
Publisher :
Page : 0 pages
File Size : 33,53 MB
Release : 2019
Category :
ISBN :
Author : Florian Weißofner
Publisher :
Page : pages
File Size : 26,78 MB
Release : 2020*
Category :
ISBN :
Author : David Dreman
Publisher : Simon and Schuster
Page : 498 pages
File Size : 12,95 MB
Release : 2012-01-10
Category : Business & Economics
ISBN : 0743297962
Introduces important new findings in psychology to demonstrate why most investment strategies are flawed, outlining atypical strategies designed to prevent over- and under-valuations while crash-proofing a portfolio.
Author : Paweł Maryniak
Publisher :
Page : 51 pages
File Size : 18,33 MB
Release : 2016
Category :
ISBN :
Paper analyzes the relationship between the profitability of currency momentum strategy and its potential sources - investor sentiment and investor attention. Evidence supporting the existence of relationship between investor sentiment and currency momentum is presented. It seems that this relationship is different than for equity momentum. Investor sentiment seems to affect in the opposite way long and short leg of currency momentum strategy. It seems that adjusting currency momentum for this relationship can magnify its profitability. Investor attention also seems to have an impact on the profitability of currency momentum which seems to be the most profitable for low attention currencies.
Author : Nathan E. Davis
Publisher : McGraw-Hill Companies
Page : 177 pages
File Size : 35,6 MB
Release : 2004
Category : Business & Economics
ISBN : 9780071432405
"The Triumph of Contrarian Investing provides you with analysis and indicators proven to spotlight those points at which investor optimism or pessimism is at its strongest, then show you how to go against the grain - and profit - in virtually every instance."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved
Author : James Gerard Bulsiewicz
Publisher :
Page : 307 pages
File Size : 28,54 MB
Release : 2016
Category : Finance
ISBN :
Author : Major Coleman
Publisher :
Page : 102 pages
File Size : 43,58 MB
Release : 2013
Category :
ISBN : 9781267971432
Chapter 1. If investors choose consumption and investment levels jointly to maximize expected utility or value, then investor sentiment about stock returns should be reflected in consumption choices. I find a positive contemporaneous relationship between aggregate consumption of nondurables and investor stock sentiment. Investors' false perceptions of changes in stock market wealth appear to move consumption in the same direction initially. But as expected stock returns do not materialize, sentiment-based consumption is reversed. On average, this reversal occurs two to four years later, which coincides with the time it takes for sentiment to correct from prior levels. Sentiment does not positively predict returns as a positive proxy of rational expectations of risk would. Nor does sentiment negatively predict the covariance between consumption growth and returns as an inverse proxy for rational expectations of risk would. The results suggest that bias in investor expectations is an important factor in consumption-based asset pricing models. Chapter 2. I hypothesize that directly observable past returns drive housing investment more so than fundamentals because the difference between price and fundamental value---sentiment---is not directly observable. Housing sentiment only becomes recognizable when it is extreme, so the magnitude of sentiment must be large enough relative to recent returns in order for prices to correct. I construct indices of housing sentiment and use the measures to calibrate a specification of home price growth driven by momentum investing. I find that home price growth is persistent even when prices are moving away from fundamental value, and reversals in home price growth are only likely when the housing sentiment measures are extreme.
Author : John A. Doukas
Publisher :
Page : 54 pages
File Size : 28,73 MB
Release : 2019
Category :
ISBN :
This paper sheds empirical light on whether sentiment affects the profitability of price momentum strategies. We hypothesize that news that contradicts investors' sentiment causes cognitive dissonance, which slows the diffusion of signals that oppose the direction of sentiment. This phenomenon tends to cause underpricing of losers under optimism and underpricing of winners under pessimism. While the latter phenomenon can be corrected by arbitrage buying, short-selling constraints impede arbitraging of losers under optimism, causing momentum to be stronger in optimistic periods. Our empirical analysis supports this argument by showing that momentum profits arise only under optimism, and are driven principally by strong momentum in losing stocks. This result survives a host of robustness checks including controls for market returns, firm size and analyst following. An analysis of net order flows from small and large trades indicates that small (but not large) investors are slow to sell losers during optimistic periods. Momentum-based hedge portfolios formed during optimistic periods experience long-run reversals.
Author : Jun Wang
Publisher :
Page : 92 pages
File Size : 19,29 MB
Release : 2010
Category : Electronic dissertations
ISBN :
Essay 1, Growth/Value, Market-Cap, and Momentum, examines the profitability of style momentum strategies on portfolios based on firm growth/value characteristics and market capitalization. We use monthly total returns of nine S & P style indices to avoid concerns about firm size, liquidity, credit risk, short-sale constraints, and transaction costs. We find that historically buying a past best performing style index and short-selling a past worst performing style index generates economically and statistically significant profit of 0.8% per month over the period June 1995 to March 2009. This profitability remains economically plausible after adjusting for systematic risk, short-sale costs, and transaction costs. Investors may actually implement style momentum strategies on exchange traded funds linked to the S & P style indices. Essay 2, Sector Momentum, examines monthly returns of nine Select Sector SPDRs and finds historically buying past outperforming sectors and selling past underperforming sectors produces economically and statistically significant profits. Investors may be able to not only benefit from SPDRs' low fees, tax efficiency, and trading flexibility, but also exploit SPDRs as asset allocation tools to earn excess returns on sector momentum. For robustness checks, I test sector momentum investing strategies on CRSP listed individual stocks between January 1963 and December 2008 using Global Industry Classifications Standard (GICS) and also find statistically significant payoffs. Essay 3, Momentum Strategies on Global ETFs, examines the price momentum on 15 well-diversified iShares MSCI Country Index ETFs from April 1996 to December 2006. I find statistically and economically significant profits for some momentum strategies: long past winners and short past losers. The results are robust to trading costs and excessive risks.
