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Viac informácií o knihe Momentum Strategies

• Parametre knihy
• Anotácia kniha
• Obľúbené z iného súdka

Nákupom získate 154 bodov

Anotácia knihy

This thesis investigates price momentum of sector and region indices on the MSCI basis from January 1985 for sectors and January 1970 for re-gions to January 2008 relative to the MSCI World benchmark. It is shown that return continuation can be found for winner indices whereas loser indices exhibit a return reversal. Winner indices systematically outperform loser indices. The evaluated momentum strategies generate abnormal profits in the overall sample but also in different market environments. Re- turns are correlated with the market environment. A diversified index port-folio does not achieve a better risk-adjusted performance than a single index investment. In the CAPM and Fama-French framework, these mo-mentum profits can not be explained a statistically significant positive alpha remains. Macroeconomic lagged factors can partly explain momen-tum profits but remain undetermined.

Parametre knihy

Zaradenie knihy Knihy po anglicky Economics, finance, business & management Economics

• Celý názov: Momentum Strategies
• Podnázov: Analysis of sector and regional index momentum strategies on MSCI basis
• Autor: Daniel Rotzer
• Jazyk: Angličtina
• Väzba: Brožovaná
• Počet strán: 96
• EAN: 9783639204919
• ISBN: 3639204913
• ID: 06828473
• Nakladateľ: VDM Verlag
• Hmotnosť: 150 g
• Rozmery: 229 × 152 × 6 mm
• Dátum vydania: 23. October 2009

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