Industry momentum crashes
Loading...
URL
Journal Title
Journal ISSN
Volume Title
School of Business |
Bachelor's thesis
Unless otherwise stated, all rights belong to the author. You may download, display and print this publication for Your own personal use. Commercial use is prohibited.
Authors
Date
2019
Department
Major/Subject
Mcode
Degree programme
Rahoitus
Language
en
Pages
23 + 11
Series
Abstract
Industry momentum strategies produce strong returns, but these strategies also experience infrequent periods of negative returns similar to stock momentum strategies. Momentum crashes are most likely to occur in bear markets when the contemporaneous market return is positive as a result of high loser portfolio returns. Industry momentum strategies have had similar behaviour to written call options during bear markets, but in more recent data the option-like behaviour has disappeared. This bear market optionality is not as strong as it has been documented to be in stock momentum strategies.Description
Thesis advisor
Ungeheuer, MichaelKeywords
market anomalies, market efficiency, momentum, crash