Momentum Investing Across Different Asset Classes (CROSBI ID 67271)
Prilog u knjizi | izvorni znanstveni rad | međunarodna recenzija
Podaci o odgovornosti
Orlović, Zrinka ; Lovretin Golubić, Zrinka ; Zoričić, Davor
engleski
Momentum Investing Across Different Asset Classes
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.
Factor investing ; Momentum ; Different Asset Classes
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Podaci o prilogu
297-315.
objavljeno
10.4018/978-1-7998-5083-0.ch015
Podaci o knjizi
Recent Applications of Financial Risk Modelling and Portfolio Management
Škrinjarić, Tihana ; Čižmešija, Mirjana ; Christiansen, Bryan
IGI Global
2021.
1799850838