Return Dispersion And Conditional Momentum Returns
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Return Dispersion And Conditional Momentum Returns
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Author : Gareth Hurst
language : en
Publisher:
Release Date : 2019
Return Dispersion And Conditional Momentum Returns written by Gareth Hurst 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.
The momentum premium is pervasive across international markets and different asset classes; however the drivers of this premium are yet to be established. This paper contributes to the literature by examining the relationship between a leading economic indicator, return dispersion, and the momentum premium across regions. We document a strong relationship between return dispersion and the momentum premium using both ex-post and ex-ante empirical methods. This relationship is robust to the inclusion of a set of control variables and an alternate specification of return dispersion. We employ a conditional momentum strategy that scales the unconditional momentum strategy by the level of return dispersion and find that the conditional momentum strategy outperforms the unconditional momentum strategy in all regions. The results presented in this paper document the dynamic relationship between risk and the momentum premium.
Conditional Multifactor Explanation Of Return Momentum
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Author : Xueping Wu
language : en
Publisher:
Release Date : 1998
Conditional Multifactor Explanation Of Return Momentum written by Xueping Wu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Capital assets pricing model categories.
The Conditional Relation Between Dispersion And Return
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Author : Riza Demirer
language : en
Publisher:
Release Date : 2013
The Conditional Relation Between Dispersion And Return written by Riza Demirer 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.
The main goal of this paper is to examine the conditional pricing effect of return dispersion on the cross section of returns. We observe a systematic conditional relation between dispersion and return even after controlling for market, size and book-to-market factors. However, we find that return dispersion risk is asymmetrically priced with a significantly positive premium observed during periods of large market gains only. The findings are found to be robust to alternative conditional specifications of market returns, suggesting asymmetric pricing effect of the return dispersion factor. We provide alternative explanations for the systematic risk captured by the return dispersion factor and discuss implications for portfolio management and corporate decisions.
Momentum And Funding Conditions
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Author : Luis García-Feijóo
language : en
Publisher:
Release Date : 2016
Momentum And Funding Conditions written by Luis García-Feijóo 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.
We find strong evidence linking the momentum pattern in equity returns with a prominent measure of macroeconomic conditions, specifically the funding environment. We show that the size and consistency of the momentum premium varies systematically across funding states. Furthermore, we find evidence that the relationship between momentum returns and firm characteristics (documented in previous research) is conditional on the funding environment. After controlling for the funding state, we find that the importance of market states and return dispersion disappears. Additionally, funding conditions appear to contain incremental information about the momentum premium even after adjusting for the influence of market states and return dispersion. Overall our results are consistent with the conjecture that transitions in the funding environment encourage investors to revise their portfolio allocations; this reallocation produces inter-temporal variation in the momentum return pattern.
Cross Sectional Return Dispersion And Currency Momentum
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Author : Jonas N. Eriksen
language : en
Publisher:
Release Date : 2019
Cross Sectional Return Dispersion And Currency Momentum written by Jonas N. Eriksen 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.
I assess the relation between cross-sectional return dispersion in foreign exchange (FX) markets and currency momentum. I find that cross-sectional dispersion is priced in the cross-section of currency momentum returns and that an unexpected increase in cross-sectional dispersion is associated with positive (negative) excess returns to winner (loser) currencies. This mechanism can be related to monetary policy conditions. The empirical findings are robust to the inclusion of traditional currency risk factors, liquidity and market volatility variables, and transaction costs. Finally, the explanatory ability of cross-sectional dispersion extends to broader cross-sections of currency portfolios and to individual currencies.
Cross Sectional Return Dispersion And Time Variation In Value And Momentum Premiums
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Author : Chris T. Stivers
language : en
Publisher:
Release Date : 2012
Cross Sectional Return Dispersion And Time Variation In Value And Momentum Premiums written by Chris T. Stivers and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
We find that the market's recent cross-sectional dispersion in stock returns is positively related to the subsequent value book-to-market premium and negatively related to the subsequent momentum premium. The partial relation between return dispersion (RD) and the subsequent value and momentum premiums remains strong when controlling for macroeconomic state variables suggested by the literature. Our findings are consistent with recent theoretical insights and empirical evidence which suggest that the market's RD may serve as a leading countercyclical state variable, the value premium is countercyclical, and the momentum premium is procyclical.
Return Dispersion And Investment Anomalies
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Author : Klaus Grobys
language : en
Publisher:
Release Date : 2016
Return Dispersion And Investment Anomalies written by Klaus Grobys 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.
Recent research finds that cross-sectional return dispersion provides a risk-based explanation for some investment anomalies, including accrual, investment, and momentum strategies. This study extends the analyses of return dispersion to a broad set of anomalies by testing whether the state of return dispersion is associated with anomalous returns. Empirical results for 12 well-known anomalies indicate a robust link between good and bad states of return dispersion and most anomalies. Also, return dispersion helps to explain a number anomalies regardless of their association with investor sentiment. We conclude that market risk related to return dispersion plays an important role in many investment anomalies.
Cumulative Prospect Theory Myopic Loss Aversion And Momentum Crashes
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Author : Paul Docherty
language : en
Publisher:
Release Date : 2019
Cumulative Prospect Theory Myopic Loss Aversion And Momentum Crashes written by Paul Docherty 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.
Momentum strategies generate significant positive returns over long investment horizons; however these strategies experience infrequent periods of large negative returns. These periods are known as 'momentum crashes'. We demonstrate that the probability of a momentum crash is time-varying, increasing following periods of high market return dispersion, a proxy for a change in the market state. Under cumulative prospect theory, investors overweight the probability of a momentum crash when estimating their value function, discounting the current price of "winners" relative to "losers" resulting in positive expected future returns for the momentum strategy. Consistent with this theory, we show that momentum returns are substantially lower and volatility is higher in regimes where the probability of a momentum crash is high. Although momentum crashes are predictable they may not be exploited by institutional investors. Therefore, we argue that the negative (positive) skewness of the return distribution of winner (loser) portfolios is priced and may partly explain the momentum premium.
Stock Market Anomalies
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Author : Elroy Dimson
language : en
Publisher: CUP Archive
Release Date : 1988-03-17
Stock Market Anomalies written by Elroy Dimson and has been published by CUP Archive this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988-03-17 with Business & Economics categories.
Global Risk Management
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Author : Jongmoo Jay Choi
language : en
Publisher: JAI Press Incorporated
Release Date : 2002-12-16
Global Risk Management written by Jongmoo Jay Choi and has been published by JAI Press Incorporated this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-12-16 with Business & Economics categories.
Contains articles presented at a conference which was held on April 20, 2001 at the Fox School under the auspices of the Institute of Global Management Studies (IGMS) and the Advanta Center for Financial Services Studies, as the Second Annual International Business Forum sponsored by the IGMS.