Stephen Satchell, Andrew Grant

Market Momentum

Theory and Practice

• Gebundenes Buch

Produktbeschreibung

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.

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Produktdetails

• Wiley Finance Series
• Verlag: Wiley / Wiley & Sons
• Artikelnr. des Verlages: 1W119599320
• 1. Auflage
• Seitenzahl: 432
• Erscheinungstermin: 2. Dezember 2020
• Englisch
• Abmessung: 247mm x 173mm x 34mm
• Gewicht: 944g
• ISBN-13: 9781119599326
• ISBN-10: 1119599326
• Artikelnr.: 58263220

Autorenporträt

ANDREW GRANT is a Senior Lecturer in Finance at the University of Sydney. His main areas of expertise are behavioural finance, individual investor decision making, and betting markets. He has also been engaged with industry in the Asia-Pacific region. Andrew is a frequent speaker at conferences and seminars. STEPHEN SATCHELL is Fellow of Economics, Trinity College Cambridge, UK. He also works as an advisor to financial institutions and as a quantitative facilitator bringing clients together. Stephen lectures frequently at finance industry seminars and is on the committees for several leading quantitative research groups.

Inhaltsangabe

Contributors xvii

Introduction xxiii

Chapter 1 Behavioural Finance and Momentum 1

1.1 Introduction 1

1.2 The failure of risk-based explanations 3

1.3 Behavioural models of momentum 3

1.4 Slow information diffusion 5

1.5 Patterns in information arrival 6

1.6 The 52-week high and capital gains overhang 8

1.7 Institutional trading and momentum profits 10

1.8 Sentiment and momentum 11

1.9 Discussion 12

Chapter 2 A Taxonomy of Momentum Strategies 16

2.1 Introduction 16

2.2 Relative strength strategies 17

2.3 Time-series momentum strategies 18

2.4 Cross-sectional momentum strategies 20

2.5 Cross-asset momentum 27

Chapter 3 Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations 30

3.1 Data Description 34

3.2 Methodology 39

3.3 Turnover Reduction 42

3.4 The Recent Underperformance of Time-series Momentum Strategies and the Effect of Pairwise Correlations 52

3.5 Trading Costs Implications 58

3.6 Concluding Remarks 63

Chapter 4 Risk and Return of Momentum in Developed Equity Markets 68

4.1 Introduction 68

4.2 Definition of momentum 69

4.3 Simple factor portfolios 71

4.4 Multifactor structure 73

4.5 Pure factor portfolios 75

4.6 Empirical results: momentum performance 76

4.7 Empirical results: momentum risk 80

4.8 Diversification benefits 83

4.9 Summary 84

Chapter 5 Momentum Across Asset Classes 86

5.1 Measuring momentum 87

5.2 Framework: equity momentum and corporate credit risk 87

5.3 Empirical studies: momentum and credit risk 89

5.4 Our research on equity momentum and bond returns 91

5.5 Geographically bound assets 92

5.6 Momentum in other illiquid assets 94

5.7 Cross-asset class effects of commodities 95

5.8 Momentum effects and taxable investors 95

5.9 Active management and momentum effects 96

5.10 Conclusions 98

Chapter 6 Momentum in Momentum ETFs 103

6.1 Introduction 103

6.2 Why are momentum ETFs so popular? 104

6.3 What is in a momentum ETF? 112

6.4 Which factors drive active risk for momentum ETFs? 114

6.5 From constrained to unconstrained strategies 117

6.6 Conclusions 119

Chapter 7 CTA Momentum 120

7.1 Introduction 120

7.2 Time-series momentum (TSM) 121

7.3 Strategy return models 127

7.4 Time-series momentum 131

7.5 TSM meets CSM with two instruments 133

7.6 Conclusions 135

7.A.1 Appendix A: Correlation parameter restrictions 136

7.A.2 Appendix B: Proofs of variances and covariance 138

Chapter 8 Overreaction and Faint Praise - Short-Term Momentum in Contemporary Art 141

8.1 Introduction 141

8.2 Contemporary art market ecosystem 144

8.3 ArtForecaster data 145

8.4 Systematic forecasting strategies 149

8.5 Conclusions 157

Chapter 9 Volatility-Managed Momentum 160

9.1 Introduction 160

9.2 Data and momentum portfolio construction 161

9.3 Volatility-managed momentum strategies 162

9.4 Some potential practical issues 166

9.5 The best volatility measure for momentum? 170

9.6 Concluding remarks 172

Chapter 10 Theoretical Analysis of the Fama-French Portfolios 174

10.1 Introduction 174

10.2 Strategies