A one-of-a-kind reference guide covering the behavioral and statistical explanations for market momentum and the implementation of momentum trading strategies
Market Momentum: Theory and Practice is a thorough, how-to reference guide for a full range of financial professionals and students. It examines the behavioral and statistical causes of market momentum while also exploring the practical side of implementing related strategies.
The phenomenon of momentum in finance occurs when past high returns are followed by subsequent high returns, and past low returns are followed by subsequent low returns. Market Momentum provides a detailed introduction to the financial topic, while examining existing literature. Recent academic and practitioner research is included, offering a more up-to-date perspective.
Introduction: Andrew Grant and Steve Satchell
1. Behavioural Finance and Momentum: Andrew Grant
2. A Taxonomy of Momentum Strategies: Steve Satchell
3. Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules, and Pairwise Correlations: Nick Baltas and Robert Kosowski
4. Risk and Return of Momentum in Developed Equity Markets: Jose Menchero and Lei Ji
5. Momentum across Asset Classes: Dan DiBartolomeo and Bill Zieff
6. Momentum in Momentum ETFS: Katharina Schwaiger and Muhammad Massood
7. CTA Momentum: Oliver Williams
8. Overreaction and Faint Praise - Short-Term Momentum in Contemporary Art: Oliver Williams and Anders Pedersen
9. Volatility Managed Momentum: Yang Gao
10. Theoretical Analysis of the Fama-French Portfolios: Andrew Grant, Oh Kang Kwon, and Steve Satchell
11. Exploiting the Countercyclical Properties of Momentum and other Factor Premia - A Cross-Country Perspective: Stefano Cavaglia, Vadim Moroz and Louis Scott
12. Time Series Variation in Factor Premia - The influence of the business cycle: Christopher Polk, Mo Haghbin and Alessio de Longis
13. Where Goes Momentum: Ron Bird, Xiaojun (Kevin) Gao and Danny Yeung
14. Time-series momentum in Credit: Machine learning approach: Shivam Ghosh, Steve Satchell and Nandini Srivastava
15. Momentum and Business Cycles: Byoung-Kyu Min
16. Momentum as a Fundamental Risk Factor: Chris Tinker
17. Momentum, Value, and Carry Commodity Factors for Multi-Asset Portfolios: Stefano Cavaglia, Louis Scott, Kenneth Blay and Vincent de Martel