Price momentum

This paper examines the relationship between idiosyncratic momentum and future returns in the Vietnam stock market. This study utilizes the Vietnam Stock market from the DataStream database, containing listed and delisted stocks from July 2010 to June 2021.

5p visirius 11-01-2023 20 5   Download

Contract farming in turmeric cultivation has gained momentum in Kandhamal district after establishment of the species industry in cooperative sector. It has been realized that the contracted farmers are being faced much constraints and feel doubt for the sustainability of the contract farming system in turmeric cultivation.

7p kethamoi6 29-06-2020 16 1   Download

This study contributes new empirical evidence on the profitability of a momentum strategy in the Philippines equity market. The study was conducted over the time period January 2000 to June 2012. We evaluated a momentum strategy based only on past return information as well as a strategy that incorporates information on volume for 16 different time combinations with varying formation and holding periods.

12p covid19 19-04-2020 15 4   Download

Based on Johnson and So [11], we construct a portfolio based on the ratio of trading volume of the stock option to its underlying stock (O/S). We compare the profitability of the OS strategy with those of 52-week highs, trading volume, and price momentum strategies to examine whether OS investment returns are more profitable. We find that the longer holding period is associated with the better the OS strategy to earn returns.

23p cothumenhmong4 24-03-2020 27 3   Download

Maize is considered as important cereal crop which occupies third position after rice and wheat. Maize is considered as heavy feeder of nutrients and requires continuous and assured supply of nutrients throughout its growth period. Now-a-days, maize is grown under intensive agricultural conditions with more of chemical fertilisers although organic fertilizers are minimally used. The increased change in prices of fertilisers, deterioration of soil health and environmental concerns, are necessitating the use of organic manures which is gaining momentum.

7p chauchaungayxua3 07-02-2020 14 1   Download

This paper presents how momentum strategies are generated using gene expression programming(GEP) in Chinese stock market. GEP, as a generating frame, can improve the efficiency of researches in the field of momentum strategy. In terms of empirical results, GEP generation mechanism is also outstanding. This study reveals that the GEP technique has important implications for both theory and practice.

13p trinhthamhodang2 21-01-2020 23 4   Download

The remainder of the paper is organized as follows. Section 2 summarizes the prior research and presents my formal hypothesis. Section 3 presents my research design. Section 4 describes the data and presents results of my main empirical test. Section 5 contains supplementary analyses and Section 6 concludes.

121p fugu897 03-07-2019 13 1   Download

Put call parity is a theoretical no-arbitrage condition linking a call option price to a put option price written on the same stock or index. This study finds that Put call parity violations arequite symmetric over the whole sample. However during the ban period 2008 in the U.S., puts aresignificantly and economically overpriced relative to calls.

15p thiendiadaodien_5 08-01-2019 22 3   Download

In this chapter, we will examine the P/E and other ratios that scale a firm’s market valuation to a measure of firm value. These ratios will be used to determine the relative valuation of a common share. They are widely used in practice because in a single number, they provide the firm’s market valuation relative to some firm fundamental.

65p allbymyself_10 02-03-2016 30 3   Download

We construct optimal portfolios of equity funds by combining historical returns on funds and passive indexes with prior views about asset pricing and skill. By including both benchmark and nonbenchmark indexes, we distinguish pricing-model inaccuracy from managerial skill. Even modest con¯dence in a pricing model helps construct portfolios with high Sharpe ratios. Investing in active mutual funds can be optimal even for investors who believe active managers cannot outperform passive indexes. Optimal portfolios exclude hot-hand funds even for investors who believe momentum is priced.

36p thangbienthai 22-11-2012 66 6   Download

We examine whether the predictability of future returns from past returns is due to the market's underreaction to information, in particular to past earnings news. Past return and past earnings surprise each predict large drifts in future returns after controlling for the other. Market risk, size, and book-to-market effects do not explain the drifts. There is little evidence of subsequent reversals in the returns of stocks with high price and earnings momentum.

34p conrepcon 12-04-2012 66 9   Download

STOCK SCREENING A LOOK AT MOMENTUM INVESTING: SCREENING FOR STOCKS ON A ROLL By Wayne A. Thorp Momentum investors purchase stocks that are rapidly rising in price in the belief that the rising price will attract other investors, who will drive up the price even more. One key is recognizing when the momentum is beginning to fade. Envision a snowball rolling down a hill: As it rolls along, it picks up more snow, which causes it to move faster, which causes it to pick up even more snow and move even faster.

5p mama15 17-10-2010 80 5   Download

TECHNICAL ANALYSIS MEASURING INTERNAL STRENGTH: WILDER’S RSI INDICATOR By Wayne A. Thorp Wilder’s relative strength index measures a stock’s price relative to itself over time. Its popularity lies in its versatility in identifying market extremes and illustrating points of divergence that may indicate an approaching reversal of price trend. In his 1978 book, “New Concepts in Technical Trading Systems,” J. Welles Wilder (Trade Research) introduced the relative strength index (RSI).

5p mama15 17-10-2010 58 4   Download

The MACD ("Moving Average Convergence/ Divergence") is a trend following momentum indicator that shows the relationship between two moving averages of prices. The MACD was developed by Gerald Appel, publisher of Systems and Forecasts.

0p mama15 27-09-2010 58 15   Download

The Absolute Breadth Index ("ABI") is a market momentum indicator that was developed by Norman G. Fosback. The ABI shows how much activity, volatility, and change is taking place on the New York Stock Exchange while ignoring the direction prices are headed.

0p mama15 27-09-2010 63 14   Download