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 9 of 9 for “"momentum returns"”.
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Portfolio structure and optimisation of momentum returns
This study analyses momentum returns in 54 countries covering 34 years. It is the first study where optimising programmes are applied to momentum returns and portfolio selection. Momentum returns have remained a contentious topic and a substantial amount of research purports to support and negate …
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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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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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Three essays in financial economics
In Chapter 1, I propose that abnormal returns generated by price momentum can be explained away within the framework of an existing risk factor model such as the Fama-French three-factor model. Two features of a systematic factor, weakly positive autocorrelation and the leverage effect, generate a …
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Momentum: A Rational Interpretation
… to explain the asset pricing phenomenon known as momentum. I revisit the seminal work of Chordia and Shivakumar (2002); Cooper, Guiterrez and Hameed (2004); and Stivers and Sun (2010). Using an updated sample, I reexamine their findings, while also comparing the results by credit rating. It has …
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Residual momentum and investor sentiment on the Johannesburg Stock Exchange (JSE)
Momentum has been described as the premier financial market anomaly (Fama & French, 2008), but styles based on this phenomenon tend to suffer intermittent crashes (Barroso & Santa-Clara, 2015). The study investigated a variation on momentum that considers only firm-specific returns, determined from …
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Essays on international finance
… we examine the properties of carry trade and momentum returns in the interwar period currency markets. We find that these active currency trading strategies earn an annualized average excess return of about 7%, consistent with estimates from modern samples. On the grounds that the interwar …
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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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Time-series and cross-sectional momentum investment strategies: International evidence
… profits that can be realised from following a momentum-based investment strategy of buying recent outperforming stocks (winners) and selling recent underperforming stocks (losers) (Jegadeesh & Titman, 1993, 2001). Momentum strategies have proved to be robust across time, countries and asset …