Two Essays on Momentum Strategy and Its Sources of Abnormal Returns PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Two Essays on Momentum Strategy and Its Sources of Abnormal Returns PDF full book. Access full book title Two Essays on Momentum Strategy and Its Sources of Abnormal Returns by Yu Zhang. Download full books in PDF and EPUB format.
Author: Yu Zhang Publisher: ISBN: Category : Languages : en Pages : 145
Book Description
This dissertation studies the sources of the momentum abnormal returns. The first essay attempts to find the relative role of cross-sectional and time-series variances in generating returns from the momentum strategy. By decomposing the returns from the momentum strategy both theoretically and empirically, the first essay finds that own-stock autocovariance is an important source in generating momentum returns. More interestingly, the own-stock autocovariance comes primarily from the loser portfolio. This finding provides another explanation to the recent finding that the loser portfolio is the driving force of the momentum abnormal returns. Based on the above discovery from the first essay, the second essay attempts to find out the underlying reason for the important asymmetric own-stock autocovaraince from the loser portfolio. We find that this return predictability comes from the short-selling constraints and risks. Stocks with more severe short-selling constraints prevent pessimistic information from being released into the stock prices more quickly; and thus causes those stocks to be overpriced and auto-correlated in their returns.
Author: Yu Zhang Publisher: ISBN: Category : Languages : en Pages : 145
Book Description
This dissertation studies the sources of the momentum abnormal returns. The first essay attempts to find the relative role of cross-sectional and time-series variances in generating returns from the momentum strategy. By decomposing the returns from the momentum strategy both theoretically and empirically, the first essay finds that own-stock autocovariance is an important source in generating momentum returns. More interestingly, the own-stock autocovariance comes primarily from the loser portfolio. This finding provides another explanation to the recent finding that the loser portfolio is the driving force of the momentum abnormal returns. Based on the above discovery from the first essay, the second essay attempts to find out the underlying reason for the important asymmetric own-stock autocovaraince from the loser portfolio. We find that this return predictability comes from the short-selling constraints and risks. Stocks with more severe short-selling constraints prevent pessimistic information from being released into the stock prices more quickly; and thus causes those stocks to be overpriced and auto-correlated in their returns.
Author: Publisher: ISBN: Category : Languages : en Pages : 169
Book Description
One of the most controversial topics in recent investment literature has been stock return momentum. If an investor buys past winners and sells past losers, he will earn positive profits in the intermediate-term horizon (3 to 12 months). While behavioral theories seem to dominate as an explanation for the momentum phenomenon since momentum has been regarded as direct counter evidence for the efficient market hypothesis, Chordia and Shivakumar (2002) find that momentum can be explained by a set of macroeconomic variables. Chordia and Shivakumar argue that momentum is caused by time-varying expected returns that can be predicted by a set of macroeconomic variables, which might be associated with time-varying risk. However, the first essay of my dissertation shows that even if the macroeconomic variables are independent of stock returns, they can appear to predict momentum profits if they exhibit high persistence and the momentum portfolio period overlaps with the parameter estimation period. I am able to produce results similar to those of Chordia and Shivakumar with randomly generated variables, while I show that once the parameter estimation periods are changed, the predictive power of the macroeconomic variables for momentum disappear. My results provide evidence that the predictive power of the macroeconomic variables comes from a spurious relation between stock returns during the momentum portfolio formation period and predicted returns from the macroeconomic variables. My results further suggest that Chordia and Shivakumar's argument that the predictive power of macroeconomic variables for momentum is a challenge to behavioral theories is indeed premature. The second essay shows that the ratio of the 50-day moving average to the 200-day moving average has significant predictive power for future returns. Stocks with a high moving average ratio tend to outperform stocks with a low moving average ratio for the next six months. This predictive power is distinct from that of the nearness of the current price to the 52-week high, which was first documented by George and Hwang (2004). The moving average ratio, combined with the nearness to the 52-week high, can explain most of the intermediate-term momentum profits. This suggests that an anchoring bias in which investors use moving averages and the 52-week high as their reference points for estimating fundamental values is the main source of momentum effects. Momentum profits caused by the anchoring bias do not disappear in the long-run, confirming George and Hwang's argument that intermediate-term momentum and long-term reversals are separate phenomena.
Author: Rudolf Carnap Publisher: Univ of California Press ISBN: 0520324706 Category : Philosophy Languages : en Pages : 138
Book Description
This title is part of UC Press's Voices Revived program, which commemorates University of California Press’s mission to seek out and cultivate the brightest minds and give them voice, reach, and impact. Drawing on a backlist dating to 1893, Voices Revived makes high-quality, peer-reviewed scholarship accessible once again using print-on-demand technology. This title was originally published in 1977.
Author: Roger G Newton Publisher: World Scientific ISBN: 9814449695 Category : Science Languages : en Pages : 161
Book Description
The book consists of two separate parts, the first part is on waves and the second part on particles. In part 1, after describing the awesome power of tsunami and the history of their occurrences, the book turns to the history of explaining phenomena by means of mathematical equations. Then it describes other wave phenomena and the laws governing them: the vibration of strings and drums in musical instruments, the sound waves making them audible, ultrasound and its uses, sonar, and shock waves; electromagnetic waves: light waves, refraction, diffraction, why the sky is blue, the rainbow, and the glory; microwaves and radio waves: radar, radio astronomy, the discovery of the cosmic microwave background radiation, microwave ovens and how a radio works, lasers and masers; waves in modern physics: the Schrödinger wave function and gravitational waves in general relativity; water waves in the ocean, tides and tidal waves, and the quite different solitary waves, solitons discovered in canals. Finally we return to tsunami and the question of what laws govern them. We conclude that the answer to that question is not quite known yet, but there is ongoing research to solve the riddle.In part 2, the history of the idea of atoms is reviewed, and then the scientific evidence for their existence, with Rutherford's discovery of the atomic nucleus. The investigation of what the nucleus is like follows, including the discovery of the neutron, followed by that of the neutrino — of which there are several different kinds — and the muon as well as the pion. The important work of Paul Dirac is described, as well as the discovery of the positron and other antiparticles. The ways by which particles are discovered, by cloud chambers, bubble chambers, etc. are all explained, followed by the invention of the various machines to accelerate particles to high speeds: the cyclotron, the synchrotron, and the bigger and bigger machines, in the US as well as in Switzerland, including their storage rings. The new terminology of fermions and bosons are explained, followed by the remarkable use of group theory and group representations by matrices, whose unfamiliar algebra is carefully explained.
Author: Spenta R. Wadia Publisher: World Scientific ISBN: 9812700498 Category : Science Languages : en Pages : 281
Book Description
This indispensable volume contains a compendium of articles covering a vast range of topics in physics which were begun or influenced by the works of Albert Einstein: special relativity, quantum theory, statistical physics, condensed matter physics, general relativity, geometry, cosmology and unified field theory. An essay on the societal role of Einstein is included. These articles, written by some of the renowned experts, offer an insider's view of the exciting world of fundamental science.
Author: Abdullah Alsubaie Publisher: ISBN: 9780549083276 Category : Stock exchanges Languages : en Pages : 143
Book Description
The second essay examines the relationship between abnormal changes in trading volume of both firms and portfolio levels, and the short-term price autoregressive behavior in the SSM. The objective is to investigate the informational role that trading volume plays in predicting the direction of short-term returns. I evaluate whether the abnormal change in lagged, contemporaneous, and lead turnover affects serial correlation in returns. Consistent with the prediction of Campbell, Grossman, and Wang (1993) model, the result of this essay indicates that lagged abnormal change in trading volume lead to reversal in consecutive weekly returns. Contemporaneous and lead changes in volume provide mixing results.
Author: Yu Zhang
Author: Yu Zhang
Author: 
Author: Rudolf Carnap
Author: Muhammad A. Cheema
Author: Roger G Newton
Author: Spenta R. Wadia
Author: 
Author: Thomas Fenwick
Author: Abdullah Alsubaie
Author: Changmei Zhang