Industry momentum crashes

dc.contributor	Aalto University	en
dc.contributor	Aalto-yliopisto	fi
dc.contributor.advisor	Ungeheuer, Michael
dc.contributor.author	Rasimäki, Eetu
dc.contributor.department	Rahoituksen laitos	fi
dc.contributor.school	Kauppakorkeakoulu	fi
dc.contributor.school	School of Business	en
dc.date.accessioned	2019-07-14T16:01:58Z
dc.date.available	2019-07-14T16:01:58Z
dc.date.issued	2019
dc.description.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.	en
dc.format.extent	23 + 11
dc.format.mimetype	application/pdf	en
dc.identifier.uri	https://aaltodoc.aalto.fi/handle/123456789/39228
dc.identifier.urn	URN:NBN:fi:aalto-201907144292
dc.language.iso	en	en
dc.programme	Rahoitus	en
dc.subject.keyword	market anomalies	en
dc.subject.keyword	market efficiency	en
dc.subject.keyword	momentum	en
dc.subject.keyword	crash	en
dc.title	Industry momentum crashes	en
dc.type	G1 Kandidaatintyö	fi
dc.type.ontasot	Bachelor's thesis	en
dc.type.ontasot	Kandidaatintyö	fi

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