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CITU |
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20240410185925.0 |
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| 010 ## - LIBRARY OF CONGRESS CONTROL NUMBER |
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| LC control number |
2020020407 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9781119599371 |
| Qualifying information |
(epub) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9781119599470 |
| Qualifying information |
(adobe pdf) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| Cancelled/invalid ISBN |
9781119599326 |
| Qualifying information |
(hardback) |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
DLC |
| Language of cataloging |
eng |
| Transcribing agency |
DLC |
| Description conventions |
rda |
| Modifying agency |
DLC |
| 041 ## - LANGUAGE CODE |
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| Language code of text/sound track or separate title |
eng |
| 042 ## - AUTHENTICATION CODE |
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| Authentication code |
pcc |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HG4529 |
| 082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
332.63/2042 |
| Edition number |
23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Preferred name for the person |
Grant, Andrew Robert, |
| Dates associated with a name |
1982- |
| Relator term |
author. |
| 245 10 - TITLE STATEMENT |
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| Title |
Market momentum : |
| Remainder of title |
theory and practice / |
| Statement of responsibility, etc |
Andrew Robert Grant, Stephen Ellwood Satchell. |
| 250 ## - EDITION STATEMENT |
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| Edition statement |
First Edition. |
| 263 ## - PROJECTED PUBLICATION DATE |
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| Projected publication date |
2008 |
| 264 #1 - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Place of publication, distribution, etc |
Hoboken : |
| Name of publisher, distributor, etc |
Wiley, |
| Date of publication, distribution, etc |
2020. |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
1 online resource |
| 336 ## - CONTENT TYPE |
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| Content type term |
text |
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txt |
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rdacontent |
| 337 ## - MEDIA TYPE |
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computer |
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c |
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rdamedia |
| 338 ## - CARRIER TYPE |
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| Carrier type term |
online resource |
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cr |
| Source |
rdacarrier |
| 490 0# - SERIES STATEMENT |
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| Series statement |
The wiley finance series |
| 500 ## - GENERAL NOTE |
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| General note |
Includes index. |
| 500 ## - GENERAL NOTE |
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| General note |
ABOUT THE AUTHOR<br/>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.<br/><br/>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. |
| 505 ## - CONTENTS |
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| Formatted contents note |
TABLE OF CONTENTS<br/>Contributors xvii<br/><br/>Introduction xxiii<br/><br/>Chapter 1 Behavioural Finance and Momentum 1<br/><br/>1.1 Introduction 1<br/><br/>1.2 The failure of risk-based explanations 3<br/><br/>1.3 Behavioural models of momentum 3<br/><br/>1.4 Slow information diffusion 5<br/><br/>1.5 Patterns in information arrival 6<br/><br/>1.6 The 52-week high and capital gains overhang 8<br/><br/>1.7 Institutional trading and momentum profits 10<br/><br/>1.8 Sentiment and momentum 11<br/><br/>1.9 Discussion 12<br/><br/>Chapter 2 A Taxonomy of Momentum Strategies 16<br/><br/>2.1 Introduction 16<br/><br/>2.2 Relative strength strategies 17<br/><br/>2.3 Time-series momentum strategies 18<br/><br/>2.4 Cross-sectional momentum strategies 20<br/><br/>2.5 Cross-asset momentum 27<br/><br/>Chapter 3 Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations 30<br/><br/>3.1 Data Description 34<br/><br/>3.2 Methodology 39<br/><br/>3.3 Turnover Reduction 42<br/><br/>3.4 The Recent Underperformance of Time-series Momentum Strategies and the Effect of Pairwise Correlations 52<br/><br/>3.5 Trading Costs Implications 58<br/><br/>3.6 Concluding Remarks 63<br/><br/>Chapter 4 Risk and Return of Momentum in Developed Equity Markets 68<br/><br/>4.1 Introduction 68<br/><br/>4.2 Definition of momentum 69<br/><br/>4.3 Simple factor portfolios 71<br/><br/>4.4 Multifactor structure 73<br/><br/>4.5 Pure factor portfolios 75<br/><br/>4.6 Empirical results: momentum performance 76<br/><br/>4.7 Empirical results: momentum risk 80<br/><br/>4.8 Diversification benefits 83<br/><br/>4.9 Summary 84<br/><br/>Chapter 5 Momentum Across Asset Classes 86<br/><br/>5.1 Measuring momentum 87<br/><br/>5.2 Framework: equity momentum and corporate credit risk 87<br/><br/>5.3 Empirical studies: momentum and credit risk 89<br/><br/>5.4 Our research on equity momentum and bond returns 91<br/><br/>5.5 Geographically bound assets 92<br/><br/>5.6 Momentum in other illiquid assets 94<br/><br/>5.7 Cross-asset class effects of commodities 95<br/><br/>5.8 Momentum effects and taxable investors 95<br/><br/>5.9 Active management and momentum effects 96<br/><br/>5.10 Conclusions 98<br/><br/>Chapter 6 Momentum in Momentum ETFs 103<br/><br/>6.1 Introduction 103<br/><br/>6.2 Why are momentum ETFs so popular? 104<br/><br/>6.3 What is in a momentum ETF? 112<br/><br/>6.4 Which factors drive active risk for momentum ETFs? 114<br/><br/>6.5 From constrained to unconstrained strategies 117<br/><br/>6.6 Conclusions 119<br/><br/>Chapter 7 CTA Momentum 120<br/><br/>7.1 Introduction 120<br/><br/>7.2 Time-series momentum (TSM) 121<br/><br/>7.3 Strategy return models 127<br/><br/>7.4 Time-series momentum 131<br/><br/>7.5 TSM meets CSM with two instruments 133<br/><br/>7.6 Conclusions 135<br/><br/>7.A.1 Appendix A: Correlation parameter restrictions 136<br/><br/>7.A.2 Appendix B: Proofs of variances and covariance 138<br/><br/>Chapter 8 Overreaction and Faint Praise – Short-Term Momentum in Contemporary Art 141<br/><br/>8.1 Introduction 141<br/><br/>8.2 Contemporary art market ecosystem 144<br/><br/>8.3 ArtForecaster data 145<br/><br/>8.4 Systematic forecasting strategies 149<br/><br/>8.5 Conclusions 157<br/><br/>Chapter 9 Volatility-Managed Momentum 160<br/><br/>9.1 Introduction 160<br/><br/>9.2 Data and momentum portfolio construction 161<br/><br/>9.3 Volatility-managed momentum strategies 162<br/><br/>9.4 Some potential practical issues 166<br/><br/>9.5 The best volatility measure for momentum? 170<br/><br/>9.6 Concluding remarks 172<br/><br/>Chapter 10 Theoretical Analysis of the Fama-French Portfolios 174<br/><br/>10.1 Introduction 174<br/><br/>10.2 Strategies, notation and preliminaries 179<br/><br/>10.3 Distribution of Fama-French factors 182<br/><br/>10.4 Fama-French factors with sequential sorting 189<br/><br/>10.5 Conclusion 194<br/><br/>10.A.1 Proof of Lemma 1 194<br/><br/>10.A.2 Proof of Theorem 3 195<br/><br/>10.A.3 Proof of Theorem 4 196<br/><br/>Chapter 11 Exploiting the Countercyclical Properties of Momentum and other Factor Premia – A Cross-Country Perspective 199<br/><br/>11.1 Introduction 199<br/><br/>11.2 Methodology 200<br/><br/>11.3 Alternative investment strategies 206<br/><br/>11.4 Quantifying the utility of risk premia strategies 211<br/><br/>11.5 Summary and conclusions 215<br/><br/>Chapter 12 Time-Series Variation in Factor Premia: The Influence of the Business Cycle 218<br/><br/>12.1 Introduction 218<br/><br/>12.2 Factors and factor rotation 219<br/><br/>12.3 Factors and the business cycle 220<br/><br/>12.4 Data and summary statistics 222<br/><br/>12.5 Empirical results 224<br/><br/>12.6 Conclusions 234<br/><br/>12.A.1 Derivation of cash-flow news series 234<br/><br/>12.A.2 US leading economic indicator and global risk appetite indicator 236<br/><br/>12.A.3 Dynamic multifactor strategy: extension to other market segments and regions 236<br/><br/>Chapter 13 Where Goes Momentum? 243<br/><br/>13.1 Introduction 243<br/><br/>13.2 Momentum strategies 245<br/><br/>13.3 Data 246<br/><br/>13.4 Method 247<br/><br/>13.5 Results 252<br/><br/>13.6 Risk-adjusted after-transaction costs performance of time-series and cross-sectional momentum strategies 260<br/><br/>13.7 Conclusions 269<br/><br/>Chapter 14 Time-Series Momentum in Credit: Machine Learning Approach 273<br/><br/>14.1 Introduction 273<br/><br/>14.2 The philosophy of artificial intelligence 274<br/><br/>14.3 Vanilla time-series momentum 277<br/><br/>14.4 Generalized linear models (GLM) – Lasso, Ridge and Elastic Net 280<br/><br/>14.5 Determining optimal hyper-parameters via cross-validation 283<br/><br/>14.6 Results: generalized linear models 284<br/><br/>14.7 Random forests 284<br/><br/>14.8 Neural networks 289<br/><br/>14.9 Results and comments 291<br/><br/>14.10 Conclusion 293<br/><br/>Chapter 15 Momentum and Business Cycles 297<br/><br/>15.1 Introduction 297<br/><br/>15.2 Momentum, business cycles and realised market return 298<br/><br/>15.3 Momentum and expected market risk premiums 301<br/><br/>15.4 Momentum, overconfidence and sentiment 309<br/><br/>15.5 Summary and conclusions 311<br/><br/>Chapter 16 Momentum as a Fundamental Risk Factor 314<br/><br/>16.1 Introduction 314<br/><br/>16.2 Defining momentum as a strategy 316<br/><br/>16.3 A new framework 318<br/><br/>16.4 From realised returns to forecast returns 319<br/><br/>16.5 Examining behaviour 319<br/><br/>16.6 The momentum trader as a bystander 323<br/><br/>16.7 Extending the model 325<br/><br/>16.8 Short-term versus long-term investors 326<br/><br/>16.9 The impact of the short-term investor 330<br/><br/>16.10 The momentum risk premium 332<br/><br/>16.11 The Apollo asset pricing model 334<br/><br/>16.12 Momentum alpha 335<br/><br/>16.13 Beta momentum 339<br/><br/>16.14 Beta signal 340<br/><br/>16.15 Momentum strategies 341<br/><br/>16.16 Results 347<br/><br/>16.17 Analysis of results 353<br/><br/>16.18 Conclusions 355<br/><br/>Chapter 17 Momentum, Value and Carry Commodity Factors for Multi-Asset Portfolios 359<br/><br/>17.1 Introduction 359<br/><br/>17.2 Methodology and key research questions 361<br/><br/>17.3 Commodity factors – insights from the historical data 362<br/><br/>17.4 Wealth accumulation strategies and rebalancing considerations 366<br/><br/>17.5 Wealth decumulation strategies 373<br/><br/>17.6 Long/short versus long only strategies 375<br/><br/>17.7 Completion portfolios versus maximum Sharpe ratio portfolios 379<br/><br/>17.8 Conclusions 380<br/><br/>17.A.1 Momentum factor 381<br/><br/>17.A.2 Carry factor 381<br/><br/>17.A.3 Value factor 382<br/><br/>17.A.4 From commodity factors to factor portfolios 383<br/><br/>17.A.5 Factor construction 383<br/><br/>Index 387 |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc |
"Broadly, financial market momentum occurs when past high returns are followed by subsequent high returns, while past low returns are similarly followed by subsequent low returns. It is claimed that the momentum phenomenon contravenes the Efficient Markets Hypothesis. Consequently, it has been the subject of considerable study by behavioral economists. There are many books already published on momentum, but they have in common the characteristic that they are written by practitioners and aim to tell people how to get rich. There is a gap in the market for a holistic approach to the topic for both investment professionals and higher-level students, focusing on behavioral and statistical explanations for momentum, while also exploring the practical side of implementation"-- |
| Assigning source |
Provided by publisher. |
| 588 ## - SOURCE OF DESCRIPTION NOTE |
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| Source of description note |
Description based on print version record and CIP data provided by publisher; resource not viewed. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Investment analysis. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Securities |
| General subdivision |
Prices. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Economics |
| General subdivision |
Psychological aspects. |
| 655 #0 - INDEX TERM--GENRE/FORM |
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| Genre/form data or focus term |
Electronic books. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Satchell, Stephen, |
| Dates associated with a name |
1949- |
| Relator term |
author. |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
https://onlinelibrary.wiley.com/doi/book/10.1002/9781119599364 |
| Link text |
Full text is available at Wiley Online Library Click here to view |
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