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Pregled bibliografske jedinice broj: 1075831

Momentum Investing Across Different Asset Classes


Orlović, Zrinka; Lovretin Golubić, Zrinka; Zoričić, Davor
Momentum Investing Across Different Asset Classes // Recent Applications of Financial Risk Modelling and Portfolio Management / Škrinjarić, Tihana ; Čižmešija, Mirjana ; Christiansen, Bryan (ur.).
United States of America: IGI Global, 2021. str. 297-315 doi:10.4018/978-1-7998-5083-0.ch015


CROSBI ID: 1075831 Za ispravke kontaktirajte CROSBI podršku putem web obrasca

Naslov
Momentum Investing Across Different Asset Classes

Autori
Orlović, Zrinka ; Lovretin Golubić, Zrinka ; Zoričić, Davor

Vrsta, podvrsta i kategorija rada
Poglavlja u knjigama, znanstveni

Knjiga
Recent Applications of Financial Risk Modelling and Portfolio Management

Urednik/ci
Škrinjarić, Tihana ; Čižmešija, Mirjana ; Christiansen, Bryan

Izdavač
IGI Global

Grad
United States of America

Godina
2021

Raspon stranica
297-315

ISBN
1799850838

Ključne riječi
Factor investing ; Momentum ; Different Asset Classes

Sažetak
Instead of traditionally looking at investing in different types of asset classes in order to exploit diversification effects, investors are turning to the underlying performance drivers built-in in many asset classes – factors. The intuition is that assets earn risk premiums because they are exposed to underlying risk factors. Factor models were developed as a simplification and continuation of diversification principle and mean-variance efficiency introduced by Harry Markowitz. This chapter will focus on one of the standard investment and cross section factors called momentum. It became very popular since 1993 when Jegadeesh and Titman documented that strategies that buying stocks that have performed well in the past and selling stocks that have performed poorly generate significant positive returns. This chapter aims to provide an introduction to factor models development and momentum effects on stock and bond markets – description of methodology and detailed literature overview.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija



POVEZANOST RADA


Ustanove:
Ekonomski fakultet, Zagreb

Citiraj ovu publikaciju

Orlović, Zrinka; Lovretin Golubić, Zrinka; Zoričić, Davor
Momentum Investing Across Different Asset Classes // Recent Applications of Financial Risk Modelling and Portfolio Management / Škrinjarić, Tihana ; Čižmešija, Mirjana ; Christiansen, Bryan (ur.).
United States of America: IGI Global, 2021. str. 297-315 doi:10.4018/978-1-7998-5083-0.ch015
Orlović, Z., Lovretin Golubić, Z. & Zoričić, D. (2021) Momentum Investing Across Different Asset Classes. U: Škrinjarić, T., Čižmešija, M. & Christiansen, B. (ur.) Recent Applications of Financial Risk Modelling and Portfolio Management. United States of America, IGI Global, str. 297-315 doi:10.4018/978-1-7998-5083-0.ch015.
@inbook{inbook, year = {2021}, pages = {297-315}, DOI = {10.4018/978-1-7998-5083-0.ch015}, keywords = {Factor investing, Momentum, Different Asset Classes}, doi = {10.4018/978-1-7998-5083-0.ch015}, isbn = {1799850838}, title = {Momentum Investing Across Different Asset Classes}, keyword = {Factor investing, Momentum, Different Asset Classes}, publisher = {IGI Global}, publisherplace = {United States of America} }
@inbook{inbook, year = {2021}, pages = {297-315}, DOI = {10.4018/978-1-7998-5083-0.ch015}, keywords = {Factor investing, Momentum, Different Asset Classes}, doi = {10.4018/978-1-7998-5083-0.ch015}, isbn = {1799850838}, title = {Momentum Investing Across Different Asset Classes}, keyword = {Factor investing, Momentum, Different Asset Classes}, publisher = {IGI Global}, publisherplace = {United States of America} }

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