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 10 of 10 for “"momentum profits"”.
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The impact of time-varying idiosyncratic risk and trading costs on momentum and value strategies
… capital asset pricing models to explain momentum profits and the value premium The first and second parts ,of this study assess whether the widely documented momentum profits and post-1963 value premium can be attributed to time-varying idiosyncratic risk as described by a …
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Two Essays in Finance: Momentum Loses its Momentum, and Venture Capital Liquidity Pressure
… finance. The first paper examines robustness of momentum returns in the US stock market over the period 1965 to 2012. We find that momentum profits have become insignificant since the late 1990s partially driven by pronounced increase in the volatility of momentum profits in the last 14 years. …
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Shifts in Political Environment and Industry Momentum: Evidence from Global Stock Markets
… the political environment can explain industry momentum profits in global stock markets. In the U.S., Canada and Australia, I find that the politically consistent momentum strategy, which takes a long position in industries that are both winners and politically favored and a short position in …
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Essays in empirical finance
… second chapter tests a simple explanation for momentum profits: systematic out performance arises because certain stocks have persistently strong fundamentals which are not fully valued by the market. We find that "winner" portfolios have higher book-to-market ratios than "loser" portfolios, …
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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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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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Two Essays on Asset Prices
… and Subrahmanyam (1998) argue that higher momentum profits earned by high market-to-book firms stem from investors' higher overconfidence due to the difficulty of valuing growth options. Johnson (2002) and Sagi and Seasholes (2007) offer an alternative rational explanation wherein growth …
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Two Essays on Momentum and Reversals in Stock Returns
… In the first essay, I examine the source of momentum in stock returns. The reversal of momentum returns has been interpreted as evidence that momentum results from delayed overreaction to information. I examine momentum and reversals conditional on firms’ share issuance (net of repurchases) …
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Two Essays on Investment
… relationship between earnings and price momentum, and the other looks at how liquidity and transparency affect the pricing differential between Chinese A-and Hong Kong H-share.</p> <p>The first essay presented in Chapter I investigates the time varying relationship between earnings …
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ESSAYS ON EMPIRICAL ASSET PRICING USING BAYESIAN METHODS
… the thesis contributes to the debate about the momentum premium. We investigate the robustness of the momentum premium in the US over the period from 1927 to 2006 using a model that allows multiple structural breaks. We find that the risk-adjusted momentum premium is significantly positive only …