Quantitative Momentum: Guide to Building a Momentum-Based Stock Selection System [PDF]

PDF Preview:

Quantitative Momentum - Gray, Wesley R.,Vogel, Jack R - Novel www.indianpdf.com_ Book PDF Download Online

PDF Title : Quantitative Momentum: Guide to Building a Momentum-Based Stock Selection System
Total Page : 206 Pages
Author: Jack R. Vogel & Wesley Gray
PDF Size : 1,061 KB
Language : English
Source : wiley.com
PDF Link : Available
,

Summary
Here on this page, we have provided the latest download link for Quantitative Momentum: Guide to Building a Momentum-Based Stock Selection System PDF. Please feel free to download it on your computer/mobile. For further reference, you can go to wiley.com

Quantitative Momentum: Guide to Building a Momentum-Based Stock Selection System Book

To make matters worse for the 52-week-high strategy, a basic long strategy that buys the portfolio of stocks based on nearness to the 52-week high isn’t that compelling. For example, the top decile 52-week-high portfolio, held for 3 months, earns a 14.15 percent CAGR. Not bad, relative to the market before transaction costs, but this CAGR is much lower than the simple price momentum top decile portfolio (discussed in Chapter 5) held for three months, which earned a 17.10 percent CAGR over the same period.

Overall, we are impressed with the story behind the 52-week-high concept, but we feel there is no robust evidence that the strategy is more effective than relative strength price momentum strategies. Nevertheless, the 52-week-high evidence does point in the general direction of the price momentum anomaly and serves as another data point, which highlights that momentum strategies likely exploit mispricing caused by marketwide underreaction to news.

Quantitative Momentum: Guide to Building a Momentum-Based Stock Selection System PDF


Why you should buy from amazon? It is always better to buy books in order to support the authors and publishers. As the hard-working writer diligence should be paid off.

Know more about our initiative

Help us to serve you better. Rate this PDF
[ Total: 2 | Average: 3.5 ]

If you find this PDF violating your rights, and you want to unpublish it, Please Contact-Us / DMCA.