price momentum
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Author(s):  
Jimmy Lockwood ◽  
Larry Lockwood ◽  
Hong Miao ◽  
Mohammad Riaz Uddin ◽  
Keming Li

Headline UNITED KINGDOM: House price momentum to slow modestly


2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Daniel Folkinshteyn ◽  
Jordan Moore

PurposeMomentum strategies exhibit quarterly seasonality, earning significantly higher average strategy returns in the third month of the quarter than the first month. The authors evaluate the magnitude of quarterly seasonality in various momentum strategies to examine the relation between quarterly seasonality and risk-adjusted monthly returns.Design/methodology/approachThe authors construct long-short portfolios for various types of momentum strategies and calculate the average returns of these portfolios in the three months of the quarter. They also calculate the average changes in institutional ownership across the different portfolios.FindingsThe authors demonstrate that quarterly seasonality is directly associated with quarterly changes in net purchases by institutional investors. Additionally, they show that near-term price momentum exhibits more seasonality than other momentum strategies, consistent with institutional investor incentives.Research limitations/implicationsResearchers studying momentum should understand that quarterly seasonality increases the standard deviation of monthly returns for different types of momentum strategies.Practical implicationsIndividual investors and investment managers should consider whether it is early or late in the calendar quarter when implementing momentum strategies.Originality/valueQuarterly seasonality explains several seemingly independent findings in the momentum literature. In cases where researchers show one momentum strategy outperforms another on a risk-adjusted basis, the authors find that the superior strategy exhibits less quarterly seasonality. This pattern holds across types of momentum strategies, strategy formation periods and asset classes.


2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Melisa Ozdamar ◽  
Levent Akdeniz ◽  
Ahmet Sensoy

AbstractWe investigate the significance of extreme positive returns in the cross-sectional pricing of cryptocurrencies. Through portfolio-level analyses and weekly cross-sectional regressions on all cryptocurrencies in our sample period, we provide evidence for a positive and statistically significant relationship between the maximum daily return within the previous month (MAX) and the expected returns on cryptocurrencies. In particular, the univariate portfolio analysis shows that weekly average raw and risk-adjusted return differences between portfolios of cryptocurrencies with the highest and lowest MAX deciles are 3.03% and 1.99%, respectively. The results are robust with respect to the differences in size, price, momentum, short-term reversal, liquidity, volatility, skewness, and investor sentiment.


Author(s):  
Klaus Grobys ◽  
James W. Kolari ◽  
Jere Rutanen

AbstractFactor momentum produces robust average returns that exhibit a similar economic magnitude as stock price momentum. To the extent that the post-earnings announcement drift (PEAD) factor captures mispricing, winner factors earn profits from being long on underpriced stocks and short on overpriced stocks. Conversely, loser-factors’ negative exposure to the PEAD factor suggests that loser factors capture mispricing by being long on overpriced stocks and short on underpriced stocks. Option-implied volatility scaling increases both the economic magnitude and statistical significance of factor momentum. Factor momentum is not exposed to the same crashes as stock price momentum and therefore could provide a hedge for stock price momentum crash risks. Also, factor momentum mispricing is more pronounced when investor sentiment is high.


Author(s):  
Guglielmo Maria Caporale ◽  
Alex Plastun

AbstractThis paper explores price (momentum and contrarian) effects and their timing parameters on the days characterised by abnormal returns and the following ones in two commodity markets. Specifically, using daily gold and oil price data over the period 01.01.2009–31.03.2020 the following hypotheses are tested: (H1) there is a time gap between the detection of an abnormal return day and the end of that day, (H2) there are price effects on the day after abnormal returns occur; (H3) price effects after 1-day abnormal returns have identifiable timing parameters; (H4) the detected timing parameters can be used to “beat the market”. For these purposes average analysis, t tests, CAR and trading simulation approaches are used. The main results can be summarised as follows. Prices tend to move in the direction of abnormal returns till the end of the day when these occur. The presence of abnormal returns can usually be detected before the end of the day by estimating specific timing parameters, and a momentum effect can be detected. On the following day two different price patterns are detected: a momentum effect for oil prices and a contrarian effect for gold prices, respectively. These effects are limited in time, and the corresponding timing parameters are estimated. Trading simulations show that these effects can be exploited to generate abnormal profits with an appropriate calibration of the timing parameters.


2021 ◽  
Vol 53 (25) ◽  
pp. 2848-2864
Author(s):  
Christoph Meier ◽  
Lurion De Mello ◽  
Fabian Kukla

2021 ◽  
Author(s):  
Jordi Mondria ◽  
Xavier Vives ◽  
Liyan Yang

We propose a model in which investors cannot costlessly process information from asset prices. At the trading stage, investors are boundedly rational, and their interpretation of prices injects noise into the price, generating a source of endogenous noise trading. Our setup predicts price momentum and yields excessive return volatility and excessive trading volume. In an overall equilibrium, investors optimally choose sophistication levels by balancing the benefit of beating the market against the cost of acquiring sophistication. There can exist strategic complementarity in sophistication acquisition, leading to multiple equilibria. This paper was accepted by Gustavo Manso, finance.


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