Extreme absolute strength of stocks and performance of momentum strategies
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Financial Markets"
DOI: 10.1016/j.finmar.2019.01.001
Abstract: Abstract We find that removing stocks with extreme absolute strength from typical momentum portfolios can enhance their performance. Using data on common stocks traded on NYSE, AMEX, and NASDAQ, we find that stocks with extreme… read more here.
Keywords: performance; momentum; absolute strength; extreme absolute ... See more keywords
Momentum strategies in European equity markets: Perspectives on the recent financial and European debt crises
Sign Up to like & getrecommendations! Published in 2017 at "Finance Research Letters"
DOI: 10.1016/j.frl.2017.05.013
Abstract: We investigate the profitability and return patterns of momentum strategies in 10 European countries. Using data from December 2003 to December 2015, we find momentum returns to be lower than to those reported in previous… read more here.
Keywords: momentum returns; european equity; strategies european; momentum strategies ... See more keywords
Risk adjusted momentum strategies: A comparison between constant and dynamic volatility scaling approaches
Sign Up to like & getrecommendations! Published in 2018 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2017.12.004
Abstract: We compare the performance of two volatility scaling methods in momentum strategies: (i) the constant volatility scaling approach of Barroso and Santa-Clara (2015), and (ii) the dynamic volatility scaling method of Daniel and Moskowitz (2016).… read more here.
Keywords: volatility; risk adjusted; momentum strategies; volatility scaling ... See more keywords