Market Momentum Theory and Practice

by Satchell, Stephen; Grant, Andrew

• ISBN13: 9781119599326
• ISBN10: 1119599326
• Edition: 1st
• Format: Hardcover
• Copyright: 2020-12-02
• Publisher: Wiley

Summary

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.

What type of book is Market Momentum and how does it serve a range of readers’ interests and needs?

• A holistic market momentum guide for industry professionals, asset managers, risk managers, firm managers, plus hedge fund and commodity trading advisors
• Advanced text to help graduate students in finance, economics, and mathematics further develop their funds management skills
• Useful resource for financial practitioners who want to implement momentum trading strategies
• Reference book providing behavioral and statistical explanations for market momentum

Due to claims that the phenomenon of momentum goes against the Efficient Markets Hypothesis, behavioral economists have studied the topic in-depth. However, many books published on the subject are written to provide advice on how to make money.  In contrast, Market Momentum offers a comprehensive approach to the topic, which makes it a valuable resource for both investment professionals and higher-level finance students.

The contributors address momentum theory and practice, while also offering trading strategies that practitioners can study.

Author Biography

ANDREW GRANT is a Senior Lecturer in Finance at the University of Sydney. His main areas of expertise are behavioural finance, individual investor decision making, and betting markets. He has also been engaged with industry in the Asia-Pacific region. Andrew is a frequent speaker at conferences and seminars.

STEPHEN SATCHELL is Fellow of Economics, Trinity College Cambridge, UK. He also works as an advisor to financial institutions and as a quantitative facilitator bringing clients together. Stephen lectures frequently at finance industry seminars and is on the committees for several leading quantitative research groups.

Table of Contents

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. Commodity Factors for Multi-Asset Class Portfolios: 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