Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 3 of 3 for “"Momentum Investing"”.
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On front-running momentum and portfolio optimization
Most of the empirical research on momentum in finance has been conducted using monthly data and horizons for the formation and holding period of winner and loser portfolio. This research paper studies momentum using a weekly approach and examines strategies that are more flexible than the crowded …
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Testing Market Efficiency of MENA Equity Returns
… in 14 countries in the MENA region through momentum, short-term reversal, delay, autocorrelation and variance ratio tests following Griffin et al. (2010) and Jegadeesh (1990). Using data from the MENA region, the study analyses the effect of macroeconomic variables (MEV), the economic policy …
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A time-series and cross-sectional momentum strategy: Dual momentum applied from a South African perspective
Fama and French (2008, p.1654) referred to momentum as a “premier market anomaly”. The momentum effect has been nearly universally observed across all asset classes globally (Asness, et al., 2013). This research paper further explores momentum and replicates the dual momentum strategy proposed by …