Tail Risk in Momentum Strategy Returns

10.3386/w18169 ◽

2012 ◽

Cited By ~ 32

Author(s):

Kent Daniel ◽

Ravi Jagannathan ◽

Soohun Kim

Keyword(s):

Momentum Strategy ◽

Tail Risk

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Tail Risk in Pension Funds: An Analysis Using ARCH Models and Bilinear Processes

CFA Digest ◽

10.2469/dig.v45.n1.5 ◽

2015 ◽

Vol 45 (1) ◽

Author(s):

Michal Szudejko

Keyword(s):

Pension Funds ◽

Tail Risk ◽

Arch Models

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Are Indian Investors Return Chasers? An Anatomy of their Trading Behavior

GIS Business ◽

10.26643/gis.v11i3.3435 ◽

2016 ◽

Vol 11 (3) ◽

pp. 32-44

Author(s):

Martin Bernard ◽

Malabika Deo

Keyword(s):

Equity Returns ◽

Trading Behavior ◽

Momentum Effect ◽

Momentum Strategy ◽

Price Momentum ◽

Momentum Profits ◽

Indian Context ◽

Time Period ◽

Monthly Return ◽

Indian Stock Market

Momentum has remained an unanswered anomaly in finance literature. Researchers have pointed out two arguments, whether the source of prior return anomalies are rational or behavioral. In this paper, we examined return chasing tendency investors and the profitability of probable price momentum strategy in Indian equity market using the monthly return data of equities represented in BSE-500 index encompassing the time period from July 2004 to Jun 2014. Study is an attempt to analyze momentum effect before, during and after the financial crisis of 2007–2009 to check whether investors continue to follow the same strategy during crisis or their behavior undergoes any change. Also study examined the adequacy of rational CAPM models to explain momentum profits. The result evidenced a strong presence of economically and statistically significant momentum profit in Indian stock market equity returns. Therefore return chasing tendency of Indian investors is found to be persistent in the intermediate horizon in Indian context. Closer observation of the results reveals that, Indian investors are winners chasers rather than investor in past losers. Study also confirmed that investors sentiments are volatile according to general market environment and inadequacy of rationalist equilibrium model to explain momentum profits.

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