Non-parametric momentum based on ranks and signs
| Autor: | S. Ghon Rhee, Kuan-Cheng Ko, Tsung Yu Chen, Pin Huang Chou |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
040101 forestry
Computer Science::Computer Science and Game Theory Economics and Econometrics 050208 finance Salience (language) 05 social sciences Rank (computer programming) Nonparametric statistics 04 agricultural and veterinary sciences Momentum (finance) Salient 0502 economics and business Economics Econometrics 0401 agriculture forestry and fisheries Profitability index Finance Sign (mathematics) |
| Zdroj: | Journal of Empirical Finance. 60:94-109 |
| ISSN: | 0927-5398 |
| DOI: | 10.1016/j.jempfin.2020.11.004 |
| Popis: | This study proposes alternative momentum strategies built on the rank and sign of daily returns. Rank and sign momentum strategies are robust to the presence of extreme price movements. They generate significant profits for short-term holding periods and exhibit no long-term return reversals. More importantly, they subsume traditional price momentum, but not vice versa. In addition, rank and sign momentum strategies experience much weaker momentum crashes. Further evidence indicates that rank and sign momentum profitability is less vulnerable to salient past returns while traditional price momentum winners (losers) tend to be overvalued (undervalued) when they face a higher degree of salience. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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