Mutual Fund Managers Choice Of Momentum Strategy Pre During Post Financial Crisis
DOWNLOAD
Download Mutual Fund Managers Choice Of Momentum Strategy Pre During Post Financial Crisis PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Mutual Fund Managers Choice Of Momentum Strategy Pre During Post Financial Crisis book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Mutual Fund Managers Choice Of Momentum Strategy Pre During Post Financial Crisis
DOWNLOAD
Author : Luyue Jin
language : en
Publisher:
Release Date : 2016
Mutual Fund Managers Choice Of Momentum Strategy Pre During Post Financial Crisis written by Luyue Jin 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.
This paper provide evidence of momentum strategy selection and investment strategy switch under different market state for 207 mutual funds. The test are designed to examine the impact of different strategy and evaluate the performance under specific conditions. The study in this paper confirm the state dependence of investment strategy. By the data seized in the test, fund managers prefer momentum strategy before the financial crisis and give it up during the recession, then turns to contrarian in the following period. The optimal path of strategy selection combination and for the whole sample period also given in the results. The paper also evaluate the decision made by fund managers, compared with different peer groups and time horizon.
Market Momentum
DOWNLOAD
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.
Quantitative Momentum
DOWNLOAD
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.
Managers Investors And Crises
DOWNLOAD
Author : Graciela Laura Kaminsky
language : en
Publisher:
Release Date : 2000
Managers Investors And Crises written by Graciela Laura Kaminsky and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Contagion (Social psychology) categories.
This paper addresses the trading strategies of mutual funds in emerging markets. The data set we develop permits analysis of these strategies at the level of individual portfolios. Methodoloically, a novel feature is our disentangling the behavior of managers from that of underlying investors. For both managers and investors, we strongly reject the null hypothesis of no momentum trading: funds' momentum trading is positive they systematically buy winners and sell losers. Contemporaneous momentum trading (buying current winners and selling current losers) is stronger during crises, and stronger for fund investors than for fund managers. Lagged momentum trading (buying past winners and selling past losers) is stronger during non-crisis, and stronger for fund managers. Investors also engage in contagion trading, i.e., they sell assets from one country when asset prices fall in another.
Dual Momentum Investing An Innovative Strategy For Higher Returns With Lower Risk
DOWNLOAD
Author : Gary Antonacci
language : en
Publisher: McGraw Hill Professional
Release Date : 2014-11-21
Dual Momentum Investing An Innovative Strategy For Higher Returns With Lower Risk written by Gary Antonacci and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-21 with Business & Economics categories.
The investing strategy that famously generates higher returns with substantially reduced risk--presented by the investor who invented it "A treasure of well researched momentum-driven investing processes." Gregory L. Morris, Chief Technical Analyst and Chairman, Investment Committee of Stadion Money Management, LLC, and author of Investing with the Trend Dual Momentum Investing details the author’s own momentum investing method that combines U.S. stock, world stock, and aggregate bond indices--a formula proven to dramatically increase profits while lowering risk. Antonacci reveals how momentum investors could have achieved long-run returns nearly twice as high as the stock market over the past 40 years, while avoiding or minimizing bear market losses--and he provides the information and insight investors need to achieve such success going forward. His methodology is designed to pick up on major changes in relative strength and market trend. Gary Antonacci has over 30 years experience as an investment professional focusing on under exploited investment opportunities. In 1990, he founded Portfolio Management Consultants, which advises private and institutional investors on asset allocation, portfolio optimization, and advanced momentum strategies. He writes and runs the popular blog and website optimalmomentum.com. Antonacci earned his MBA at Harvard.
Managers Investors And Crises
DOWNLOAD
Author : Graciela Kaminsky
language : en
Publisher:
Release Date : 2017
Managers Investors And Crises written by Graciela Kaminsky and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
The authors address the trading strategies of mutual funds in emerging markets. The data set they develop permits analyses of these strategies at the level of individual portfolios. A methodologically novel feature of their analysis: they disentangle the behavior of fund managers from that of investors. For both managers and investors, they strongly reject the null hypothesis of no momentum trading. Funds' momentum trading is positive: they systematically buy winners and sell losers. Contemporaneous momentum trading (buying current winners and selling current losers) is stronger during crises, and stronger for fund investors than for fund managers. Lagged momentum trading (buying past winners and selling past losers) is stronger during noncrises, and stronger for fund managers. Investors also engage in contagion trading-selling assets from one country when asset prices fall in another. These findings are based on data about mutual funds that represent only 10 percent of the market capitalization in the countries considered. Were it a larger share of the market, finding counterparties for their trades (the investors who buy when they sell and sell when they buy) would be difficult-and the premise that funds respond to contemporaneous returns rather than causing them would become tenuous.
Taming The Beast
DOWNLOAD
Author : Larry Light
language : en
Publisher: Wiley
Release Date : 2011-06-28
Taming The Beast written by Larry Light and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-28 with Business & Economics categories.
Acrn Proceedings In Finance And Risk Series 13
DOWNLOAD
Author : Dr. Othmar M. Lehner
language : en
Publisher: ACRN Publishing House
Release Date : 2014-03-06
Acrn Proceedings In Finance And Risk Series 13 written by Dr. Othmar M. Lehner and has been published by ACRN Publishing House this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-03-06 with Business & Economics categories.
Proceedings of the 14th FRAP Finance, Risk and Accounting Perspectives conference taking place in Cambridge UK.
Manager Selection
DOWNLOAD
Author : Scott Stewart
language : en
Publisher:
Release Date : 2015
Manager Selection written by Scott Stewart and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Manager selection is a critical step in implementing any investment program. Investors hire portfolio managers to act as their agents, and portfolio managers are then expected to perform to the best of their abilities and in the investors' best interests. Investors must practice due diligence when selecting portfolio managers. They need to not only identify skillful managers, but also determine the appropriate weights to assign to those managers. This book is designed to help investors improve their ability to select managers. Achieving this goal includes reviewing techniques for hiring active, indexed, and alternative managers; highlighting strategies for setting portfolio manager weights and monitoring current managers; and considering the value of quantitative and qualitative methods for successful manager selection.
The Efficient Market Theory And Evidence
DOWNLOAD
Author : Andrew Ang
language : en
Publisher: Now Publishers Inc
Release Date : 2011
The Efficient Market Theory And Evidence written by Andrew Ang and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Business & Economics categories.
The Efficient Market Hypothesis (EMH) asserts that, at all times, the price of a security reflects all available information about its fundamental value. The implication of the EMH for investors is that, to the extent that speculative trading is costly, speculation must be a loser's game. Hence, under the EMH, a passive strategy is bound eventually to beat a strategy that uses active management, where active management is characterized as trading that seeks to exploit mispriced assets relative to a risk-adjusted benchmark. The EMH has been refined over the past several decades to reflect the realism of the marketplace, including costly information, transactions costs, financing, agency costs, and other real-world frictions. The most recent expressions of the EMH thus allow a role for arbitrageurs in the market who may profit from their comparative advantages. These advantages may include specialized knowledge, lower trading costs, low management fees or agency costs, and a financing structure that allows the arbitrageur to undertake trades with long verification periods. The actions of these arbitrageurs cause liquid securities markets to be generally fairly efficient with respect to information, despite some notable anomalies.