Sources of Momentum Profits: Applications of Higher Momentum Moments
碩士 === 國立交通大學 === 財務金融研究所 === 105 === Despite their significant abnormal returns, momentum strategies also have the worst crashes. Several recent studies focus on the dynamic weighting schemes based on their prediction of the timing of momentum crashes. In this paper, we show that idiosyncratic vola...
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ndltd-TW-105NCTU53040192019-05-16T00:08:09Z http://ndltd.ncl.edu.tw/handle/e8batx Sources of Momentum Profits: Applications of Higher Momentum Moments 價格動能獲利來源:高階動差之應用 Hu, Jui-Yu 胡瑞友 碩士 國立交通大學 財務金融研究所 105 Despite their significant abnormal returns, momentum strategies also have the worst crashes. Several recent studies focus on the dynamic weighting schemes based on their prediction of the timing of momentum crashes. In this paper, we show that idiosyncratic volatility, momentum strength, and firm characteristics are also related to momentum profits. When the strong correlation between idiosyncratic volatility, momentum strength, size, analyst coverage, and illiquidity becomes weaker, the losers and winners are going to rebound sooner. Applying the interactions between them can eliminate crashes and enhance the Sharpe ratio of momentum strategies. Our findings imply that not only can momentum profits be influenced by market states, but they also can be affected by firm characteristics. Huang, Yi-Hou 黃宜侯 2017 學位論文 ; thesis 84 zh-TW |
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碩士 === 國立交通大學 === 財務金融研究所 === 105 === Despite their significant abnormal returns, momentum strategies also have the worst crashes. Several recent studies focus on the dynamic weighting schemes based on their prediction of the timing of momentum crashes. In this paper, we show that idiosyncratic volatility, momentum strength, and firm characteristics are also related to momentum profits. When the strong correlation between idiosyncratic volatility, momentum strength, size, analyst coverage, and illiquidity becomes weaker, the losers and winners are going to rebound sooner. Applying the interactions between them can eliminate crashes and enhance the Sharpe ratio of momentum strategies. Our findings imply that not only can momentum profits be influenced by market states, but they also can be affected by firm characteristics.
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author2 |
Huang, Yi-Hou |
author_facet |
Huang, Yi-Hou Hu, Jui-Yu 胡瑞友 |
author |
Hu, Jui-Yu 胡瑞友 |
spellingShingle |
Hu, Jui-Yu 胡瑞友 Sources of Momentum Profits: Applications of Higher Momentum Moments |
author_sort |
Hu, Jui-Yu |
title |
Sources of Momentum Profits: Applications of Higher Momentum Moments |
title_short |
Sources of Momentum Profits: Applications of Higher Momentum Moments |
title_full |
Sources of Momentum Profits: Applications of Higher Momentum Moments |
title_fullStr |
Sources of Momentum Profits: Applications of Higher Momentum Moments |
title_full_unstemmed |
Sources of Momentum Profits: Applications of Higher Momentum Moments |
title_sort |
sources of momentum profits: applications of higher momentum moments |
publishDate |
2017 |
url |
http://ndltd.ncl.edu.tw/handle/e8batx |
work_keys_str_mv |
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