Essays On Momentum Strategies And Investor Sentiment
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Essays On Momentum Strategies And Investor Sentiment
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Author : Florian Weißofner
language : en
Publisher:
Release Date : 2020*
Essays On Momentum Strategies And Investor Sentiment written by Florian Weißofner and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020* with categories.
Two Essays On Investor Sentiment And The Profitability Of Contrarian And Momentum Strategies
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Author : Changmei Zhang
language : en
Publisher:
Release Date : 2010
Two Essays On Investor Sentiment And The Profitability Of Contrarian And Momentum Strategies written by Changmei Zhang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Foreign exchange market categories.
Essays In Investor Sentiment
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Author : Major Coleman
language : en
Publisher:
Release Date : 2013
Essays In Investor Sentiment written by Major Coleman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
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.
Essays On Investor Sentiment And Institutional Trading Momentum
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Author : James Gerard Bulsiewicz
language : en
Publisher:
Release Date : 2016
Essays On Investor Sentiment And Institutional Trading Momentum written by James Gerard Bulsiewicz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with Finance categories.
Trading On Sentiment
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Author : Richard L. Peterson
language : en
Publisher: John Wiley & Sons
Release Date : 2016-03-21
Trading On Sentiment written by Richard L. Peterson and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-03-21 with Business & Economics categories.
In his debut book on trading psychology, Inside the Investor’s Brain, Richard Peterson demonstrated how managing emotions helps top investors outperform. Now, in Trading on Sentiment, he takes you inside the science of crowd psychology and demonstrates that not only do price patterns exist, but the most predictable ones are rooted in our shared human nature. Peterson’s team developed text analysis engines to mine data - topics, beliefs, and emotions - from social media. Based on that data, they put together a market-neutral social media-based hedge fund that beat the S&P 500 by more than twenty-four percent—through the 2008 financial crisis. In this groundbreaking guide, he shows you how they did it and why it worked. Applying algorithms to social media data opened up an unprecedented world of insight into the elusive patterns of investor sentiment driving repeating market moves. Inside, you gain a privileged look at the media content that moves investors, along with time-tested techniques to make the smart moves—even when it doesn’t feel right. This book digs underneath technicals and fundamentals to explain the primary mover of market prices - the global information flow and how investors react to it. It provides the expert guidance you need to develop a competitive edge, manage risk, and overcome our sometimes-flawed human nature. Learn how traders are using sentiment analysis and statistical tools to extract value from media data in order to: Foresee important price moves using an understanding of how investors process news. Make more profitable investment decisions by identifying when prices are trending, when trends are turning, and when sharp market moves are likely to reverse. Use media sentiment to improve value and momentum investing returns. Avoid the pitfalls of unique price patterns found in commodities, currencies, and during speculative bubbles Trading on Sentiment deepens your understanding of markets and supplies you with the tools and techniques to beat global markets— whether they’re going up, down, or sideways.
Investor Sentiment Attention And Profitability Of Currency Momentum Strategies
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Author : Paweł Maryniak
language : en
Publisher:
Release Date : 2016
Investor Sentiment Attention And Profitability Of Currency Momentum Strategies written by Paweł Maryniak and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
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.
Market Momentum
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Author : Stephen Satchell
language : en
Publisher: John Wiley & Sons
Release Date : 2020-12-02
Market Momentum written by Stephen Satchell and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-12-02 with Business & Economics categories.
A one-of-a-kind reference guide covering the behavioral and statistical explanations for market momentum and the implementation of momentum trading strategies Market Momentum: Theory and Practice is a thorough, how-to reference guide for a full range of financial professionals and students. It examines the behavioral and statistical causes of market momentum while also exploring the practical side of implementing related strategies. The phenomenon of momentum in finance occurs when past high returns are followed by subsequent high returns, and past low returns are followed by subsequent low returns. Market Momentum provides a detailed introduction to the financial topic, while examining existing literature. Recent academic and practitioner research is included, offering a more up-to-date perspective. What type of book is Market Momentum and how does it serve a range of readers’ interests and needs? A holistic market momentum guide for industry professionals, asset managers, risk managers, firm managers, plus hedge fund and commodity trading advisors Advanced text to help graduate students in finance, economics, and mathematics further develop their funds management skills Useful resource for financial practitioners who want to implement momentum trading strategies Reference book providing behavioral and statistical explanations for market momentum Due to claims that the phenomenon of momentum goes against the Efficient Markets Hypothesis, behavioral economists have studied the topic in-depth. However, many books published on the subject are written to provide advice on how to make money. In contrast, Market Momentum offers a comprehensive approach to the topic, which makes it a valuable resource for both investment professionals and higher-level finance students. The contributors address momentum theory and practice, while also offering trading strategies that practitioners can study.
The Investor Sentiment And The Profitability Of Momentum Strategy
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Author : Monica Widyassari
language : en
Publisher:
Release Date : 2019
The Investor Sentiment And The Profitability Of Momentum Strategy written by Monica Widyassari and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Three Essays On Momentum
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Author : Jun Wang
language : en
Publisher:
Release Date : 2010
Three Essays On Momentum written by Jun Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Electronic dissertations categories.
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.
Quantitative Momentum
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Author : Wesley R. Gray
language : en
Publisher: John Wiley & Sons
Release Date : 2016-10-03
Quantitative Momentum written by Wesley R. Gray and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-10-03 with Business & Economics categories.
The individual investor's comprehensive guide to momentum investing Quantitative Momentum brings momentum investing out of Wall Street and into the hands of individual investors. In his last book, Quantitative Value, author Wes Gray brought systematic value strategy from the hedge funds to the masses; in this book, he does the same for momentum investing, the system that has been shown to beat the market and regularly enriches the coffers of Wall Street's most sophisticated investors. First, you'll learn what momentum investing is not: it's not 'growth' investing, nor is it an esoteric academic concept. You may have seen it used for asset allocation, but this book details the ways in which momentum stands on its own as a stock selection strategy, and gives you the expert insight you need to make it work for you. You'll dig into its behavioral psychology roots, and discover the key tactics that are bringing both institutional and individual investors flocking into the momentum fold. Systematic investment strategies always seem to look good on paper, but many fall down in practice. Momentum investing is one of the few systematic strategies with legs, withstanding the test of time and the rigor of academic investigation. This book provides invaluable guidance on constructing your own momentum strategy from the ground up. Learn what momentum is and is not Discover how momentum can beat the market Take momentum beyond asset allocation into stock selection Access the tools that ease DIY implementation The large Wall Street hedge funds tend to portray themselves as the sophisticated elite, but momentum investing allows you to 'borrow' one of their top strategies to enrich your own portfolio. Quantitative Momentum is the individual investor's guide to boosting market success with a robust momentum strategy.