Short-term momentum (almost) everywhere

Zaremba, Adam; Long, Huaigang; Karathanasopoulos, Andreas

doi:10.1016/j.intfin.2019.101140

Cited by 24 publications

(8 citation statements)

References 93 publications

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“…This section also provides evidence about whether the basis factor is redundant in the four combined models. Following Fama and French (2015) and Zaremba et al (2019), this paper applies time‐series spanning tests by regressing the basis factor on the common asset pricing factors for the CAPM , Fama and French (1993) three‐factor model, Carhart (1997) four‐factor model, and Fama and French (2015) five‐factor model. The aim of the time‐series spanning test is to determine whether the basis factor can be explained by those asset pricing factors and, as such, whether it is a redundant risk factor.…”

Section: Resultsmentioning

confidence: 99%

Commodity momentum and reversal: Do they exist, and if so, why?

Han

2023

Journal of Futures Markets

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Questions as to why differences in momentum and reversal patterns seem to emerge in commodity futures compared with spot markets, and how these patterns can be explained, remain unanswered. To investigate these questions, I examine 23 commodities over a period of 60 years. I first show that including the net convenience yield in the definition of commodity spot returns reconciles the differences in the results for commodity spot and futures markets. Both commodity futures and spot markets exhibit quantitatively consistent momentum and reversal effects. An initial momentum effect is followed by a reversal effect and then another momentum effect. These observed patterns in commodities can be jointly explained by a combination of traditional asset pricing factors and a basis factor related to the net convenience yield.

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Section: Resultsmentioning

confidence: 99%

Commodity momentum and reversal: Do they exist, and if so, why?

Han

2023

Journal of Futures Markets

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“…Third, pay attention to the investment momentum. If you have reviewed and rebalanced your portfolio and still have remaining funds that can be invested, it is then quite safe to start investing in momentum (Boussaidi & Dridi 2020;Zaremba, Long, & Karathanasopoulos 2019). If appropriately done with sufficient knowledge capital, buying activities will offer the opportunity to provide benefits.…”

Section: Resultsmentioning

confidence: 99%

Pandemic Attack and Islamic Stocks Index: A Cross Country Analysis

Mubarok¹,

Arif²

2021

JEM

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The impact of Covid-19 has triggered the current global economic downturn affecting all aspects of the economy including the Islamic stock index. This study aims to determine the model for forecasting the index. The Islamic stock index is used in six countries through adopting the Autoregressive Conditional Heteroscedasticity -Generalized Autoregressive Conditional Heteroscedasticity (ARCH-GARCH) method on daily data over the period January 2020 to October 2020. The risk level of each index was found to be influenced by the residual value from the previous day. The forecasting revealed the tendency of all stock prices to decline. These are associated with impacts of the Covid-19 pandemic on current and future economic performance. Investors need to assess the sector's fundamentals and the individual stocks in question, that are potential winners with propensity to recover and grow well once the market rebounds. They also need to continuously track the development of the pandemic in tandem with the economic sector and thus make the necessary adjustments at every step of the investment process.

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“…This is because momentum returns have been robustly observed in different markets and time periods (Chui et al, 2000;Jegadeesh & Titman, 2001), while existing risk-based explanations fail to fully capture the momentum effect and explain return predictability patterns such as momentum (Grundy & Martin, 2001). Zaremba et al (2019) find that short term momentum is the strongest in the market of high idiosyncratic volatility.…”

Section: Theoretical Background and Hypothesis Developmentmentioning

confidence: 98%

“…Zaremba et al. (2019) find that short term momentum is the strongest in the market of high idiosyncratic volatility.…”

Section: Theoretical Background and Hypothesis Developmentmentioning

confidence: 99%

Market frictions and momentum premium: does stock mispricing matter? Evidence from China

Tarek,

Ali,

Mohamed

2023

J Corp Accounting Finance

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This study examines if both market frictions and stock mispricing provide better explanation of the momentum premium, compared to the conventional asset pricing models. Using a large sample of 3727 companies listed on the Chinese stock market, we show that winner stocks are associated with larger market frictions and stock mispricing. Our findings reveal new empirical evidence that momentum premium can be attributed to market friction risk‐factor but additionally explained by a mispricing component.

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Short-term momentum (almost) everywhere

Cited by 24 publications

References 93 publications

Commodity momentum and reversal: Do they exist, and if so, why?

Commodity momentum and reversal: Do they exist, and if so, why?

Pandemic Attack and Islamic Stocks Index: A Cross Country Analysis

Market frictions and momentum premium: does stock mispricing matter? Evidence from China

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