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Note: Supplemental materials are not guaranteed with Rental or Used book purchases.
Purchase Benefits
What is included with this book?
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?
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.
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.
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
The New copy of this book will include any supplemental materials advertised. Please check the title of the book to determine if it should include any access cards, study guides, lab manuals, CDs, etc.
The Used, Rental and eBook copies of this book are not guaranteed to include any supplemental materials. Typically, only the book itself is included. This is true even if the title states it includes any access cards, study guides, lab manuals, CDs, etc.