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  • How the 52-Week High and Low Affect Option-Implied Volatilities and . . .
    This table shows the results of regression Equation (3), analyzing the effect of approaching and breaking through the 52-week high or low on the IV of stock call options, in columns 1–4, respectively
  • How the 52-Week High and Low Affect Option-Implied Volatilities and . . .
    Abstract We provide a new perspective on option and stock price behavior around 52-week highs and lows We analyze whether option-implied volatilities (IVs) change when stock prices approach or break through their 52-week high or low We also study the effects of highs and lows on a stock’s beta and return volatility
  • How the 52-Week High and Low Affect Option-Implied Volatilities and . . .
    This table shows the 5-day effects on idiosyncratic return variance and volume after breaking through the 52-week high and low The estimation of the idiosyncratic return variance equation is the same way as in Table IX
  • Empirical determinants of momentum: a perspective using international . . .
    In the context of momentum, George and Hwang (2004) hypothesize that investors use the 52-week high price for a stock as their anchor and, therefore, perceive stocks with prices near 52-week highs as expensive relative to stocks with prices farther away
  • Implied Price Risk and Momentum Strategy - Oxford Academic
    To verify that the premium of our strategy does not come from the value investing strategy, the relationship between the value investing strategy and the momentum strategy is examined in Section 4 We investigate the correlations among the returns of the momentum strategy, value investing strategy, and the IPR-momentum strategy
  • Short-term Momentum | The Review of Financial Studies | Oxford Academic
    Abstract We document a striking pattern in U S and international stock returns: double sorting on the previous month’s return and share turnover reveals significant short-term reversal among low-turnover stocks, whereas high-turnover stocks exhibit short-term momentum Short-term momentum is as profitable and as persistent as conventional price momentum It survives transaction costs and is
  • Portfolio rebalancing based on time series momentum and downside risk
    Abstract To examine the familiar tradeoff between risk and return in financial investments, we use a rolling two-stage stochastic program to compare mean-risk optimization models with time series momentum strategies In a backtest of allocating investment between a market index and a risk-free asset, we generate scenarios of future return according to a momentum-based stochastic process model
  • Short-Term Trading and Stock Return Anomalies: Momentum, Reversal, and . . .
    Abstract This article examines how the extent of short-term trading relates to the efficiency of stock prices We employ a new duration measure based on quarterly institutional investors’ portfolio holdings, next to existing proxies such as trading volume, the percentage of transient institutions, and fund turnover Momentum returns and subsequent returns reversal are generally much stronger
  • Momentum and Autocorrelation in Stock Returns - Oxford Academic
    This article studies momentum in stock returns, focusing on the role of industry, size, and book-to-market (B M) factors Size and B M portfolios exhibit momentum as strong as that in individual stocks and industries
  • Sources of Momentum Profits: Evidence on the Irrelevance of . . .
    Interaction patterns have been used to support behavioral and limits-to-arbitrage explanations of momentum; our findings imply that explanations of momentum should instead focus on the link between momentum profits and extreme past returns
  • Buy-Side Competition and Momentum Profits - Oxford Academic
    Abstract We show that a new measure of buy-side competition explains momentum profits The momentum quintile spread is 1 11% when competition is low and negligible when competition is high Better alphas are attained with superior Sharpe and Sortino ratios, with no negative skewness, and in more investible strategies featuring value-weighted portfolios and large capitalization stocks Stock





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