Extracto
Table of Contents
List of Figures
List of Tables
List of Abbreviations
1. Introduction
2. The Momentum Investment Strategy – a General Overview
2.1 Mode of Operation
2.2 Sources of Momentum
2.3 Momentum in Equities and Other Asset Categories
2.4 Correlation with the Fama French Factors
3. Data, Construction and Application of the Momentum Portfolio
3.1 Data Origin and Portfolio Construction
3.2 Application of the Portfolio
4. Momentum Crashes
4.1 The Major Crash Periods
4.2 Crash Triggers
4.2.1 Skewness and Kurtosis
4.2.2 Bear Markets and Portfolio Betas
4.2.3 Non-Linearity of Market Returns in and after Bear Markets
5. The 2009 Momentum Crash – a Detailed Analysis
5.1 Qualitative Analysis: Companies in the Winner and Loser Portfolio
5.2 Quantitative Analysis: Insights into risk, size, trading volume, and value factors
6. Conclusion
Appendix
Sources
- Citar trabajo
- Heinrich Stilling (Autor), 2013, Momentum Crashes, Múnich, GRIN Verlag, https://www.grin.com/document/500506
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