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 8 of 8 for “"Momentum Trading"”.
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Momentum trading strategy on the Johannesburg Stock Exchange
… generation strategies are employed to test for momentum and price corrections in the market, namely using a stock's price and moving average, ranking stocks based on prior returns, and allocating stocks as overbought and oversold. The strategies are employed on data comprising the top 60 stocks …
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Essays in empirical finance
… In Chapter 1, I study the profitability of momentum trading from evidence in mutual fund performance. I find that mutual funds that exhibit a strong momentum trading pattern earn significant risk-adjusted returns relative to Fama-French 3-Factor model, and tend to outperform other funds that …
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Estrategias de trading con Time Series Momentum
Constructing a time-series momentum strategy involves the volatility-adjusted aggregation of univariate strategies and therefore relies heavily on the e ciency of the volatility estimator and on the quality of the momentum trading signal. Using a dataset with intra-day quotes of 18 assets from May …
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Three essays in behavioural finance: An examination into non- Bayesian Investment behaviour
… sentiment affects the performance of the momentum trading strategy, an anomaly related to the pricing of good and bad information. The results indicate that sentiment strongly affects the momentum phenomenon, suggesting that it is triggered from investors’ behavioural biases. It has been …
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Essays on investment
… analysis of the asymmetries in size, value, and momentum premiums and their macroeconomic determinants over the UK economic cycles, using Markov switching approach. We find clear evidence of cyclical variations in the three premiums, most notable in the size premium. Macroeconomic variables …
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Firms’ financial flexibility and the profitability of style investing
… investing strategies. They are the value-growth trading strategy (going long on stocks with high Book-to-Market ratio and short on stocks with low Book-to-Market ratio), the momentum trading strategy (going long on stocks that have performed well and short on stocks that have performed poorly …
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Cross-sectional and time-series momentum on the JSE
… documents multiple accounts of past return-based momentum strategies employed on South African-listed equities over the period 2002.02-2015.05. Two cross-sectional momentum approaches-strategies that go long (short) in assets with relative formation period out performance (underperformance) of …
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Memory Vs Momentum - Exploring Momentum Strategies With The Hurst Exponent
Momentum, the strategy of capitalizing on the ongoing trend in the stock price movements, has been one of the most puzzling market anomalies in modern finance. This paper seeks to exploit the momentum profitability from the perspective of the excursion patterns in the stock price movements. A …