scholarly journals The Vanishing Abnormal Returns of Momentum Strategies and 'Front-Running' Momentum Strategies

2006 ◽  
Author(s):  
Thomas Henker ◽  
Martin P.E. Martens ◽  
Robert Huynh
Keyword(s):  
Abnormal Returns ◽  
Momentum Strategies ◽  
Front Running

Profit Analysis of Short Term Weekly Momentum Strategy in the Korean Stock Market

2015 ◽  
Vol 23 (4) ◽  
pp. 543-569
Author(s):  
Jun Ho Hwang
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Abnormal Returns ◽  
Short Term ◽  
Momentum Strategy ◽  
Momentum Strategies ◽  
Price Limit ◽  
Holding Period ◽  
Momentum Profits ◽  
Korean Stock Market

This paper shows the momentum strategies that selected stocks based on their returns from a past 1 week generate long lasting significant abnormal returns. I observe the negative momentum profit from 1 week momentum portfolio and it disappears when the holding period is longer than 22 week. In addition, I empirically shows that the weekly momentum strategies are able to generate negative profits also after the financial crisis. it is opposite result with literature, reported positive momentum after the financial crisis, I realize this result due to the characteristic of short term weekly momentum and market adjust returns. The price limit is one of the big features of Korean stock market. I consider the set of sample period by change of price limit. I find the positive momentum profits only in the period of narrow price limit range. For the check on the relation between liquidity and profit of momentum strategy, I employ the illiquid measure of Amihud (2002). I find that the strong and long lasting negative momentum profit from illiquid stock portfolio. This result implied that liquidity enhances the profit of momentum.

scholarly journals Profitability of the Momentum Strategies in the Tunisian Stock Market

2016 ◽  
Vol 7 (1) ◽  
pp. 17 ◽  
Author(s):  
Ramzi Boussaidi ◽  
Chaima Hmida
Keyword(s):  
Stock Market ◽  
Abnormal Returns ◽  
Momentum Strategies ◽  
Stock Performance ◽  
Listed Firms ◽  
Holding Period ◽  
The Past ◽  
Cumulative Abnormal Returns

This paper examines the profitability of the momentum strategies in the Tunisian stock market using all the listed firms for the period 1991-2015. The stock performance is measured by the returns and the cumulative abnormal returns during a formation and holding period of 3-12 months. We found evidence of momentum profitability especially for the sub-period 2003-2015. Buying the tercile or the quintile portfolio of stocks that have performed well in the past 3, 6 and 9 months and selling the tercile or quintile of the stocks that have performed poorly during the same periods, generate statistically and economically positive returns during the subsequent 3, 6, 9 and 12 months.

scholarly journals Contrarian and Momentum Investment Strategies in Pakistan Stock Exchange

2018 ◽  
Vol 57 (3) ◽  
pp. 253-282
Author(s):  
Jalal Shah ◽  
Attaullah Shah
Keyword(s):  
Stock Exchange ◽  
Abnormal Returns ◽  
Relative Strength ◽  
Investment Strategies ◽  
Momentum Strategies ◽  
Cross Sectional ◽  
Momentum Profits ◽  
Cumulative Abnormal Returns ◽  
Lag Effect ◽  
Penny Stocks

This study examines several aspects of the momentum strategies, such as profitability, risk-based explanation, and decomposition of the momentum profits. For this purpose, we use weekly and monthly data of 581 firms listed at the Pakistan Stock Exchange (PSX) for the period 2004-2014. We found the presence of momentum profits over short and long-horizons, while majority of the contrarian profits were observed only in the presence of penny stocks that have share prices of PKR 10 or less. As a robustness check, we computed returns through the weighted relative strength scheme (WRSS) procedure and average cumulative abnormal returns (ACARs). Interestingly, the results reported through WRSS have shown a similar pattern to that obtained through average cumulative abnormal returns (ACARs). Further, to know which factor contributes more to momentum and contrarian profits, we used the model proposed by Lo and MacKinlay (1990). Our findings show that the overreaction effect is the largest contributing factor of contrarian profits in PSX, while cross-sectional risk is the second largest factor and negatively affects the contrarian profits. Moreover, the lead-lag effect contributes positively to the contrarian profits. Similarly, the largest contributing factor for momentum profits is the underreaction effect, whereas cross-sectional risk is the second largest factor that positively affects momentum profits. Unlike contrarian profits, lead-lag effect reduces the momentum profits in the PSX.

scholarly journals Beta momentum strategy after extreme market movements

2018 ◽  
Vol 15 (3) ◽  
pp. 97-110
Author(s):  
Xin Zhao ◽  
Mingsheng Li ◽  
Liuling Liu
Keyword(s):  
Event Study ◽  
North American ◽  
Abnormal Returns ◽  
Momentum Strategy ◽  
Momentum Strategies ◽  
Event Study Method ◽  
Return Factors

The authors adopt an event study method and empirically investigate the performance of a beta momentum strategy (long in past winners of small beta and short in past losers of large beta) after extreme market movements in 20 countries. The researchers find that the beta momentum strategy yields material abnormal returns after controlling for return factors of size (SMB), book-to-market (HML) and momentum (UMD). The results are consistent for both extreme market UP days or DOWN days and regardless of whether the extreme market movements are identified by three percent or two percent cut-off points. In addition, the results based on the beta momentum strategy are more consistent than those of conventional momentum and betting against beta (BAB) strategies over different test windows from (0, +1) days to (0, +90). Finally, the abnormal returns based on momentum, BAB, and our beta momentum strategies are statistically insignificant for the Asian and Australian subsamples, whereas the results are significant for the European and North American samples.

scholarly journals The Fading Abnormal Returns of Momentum Strategies

2007 ◽  
Author(s):  
Thomas Henker ◽  
Martin P.E. Martens ◽  
Robert Huynh
Keyword(s):  
Abnormal Returns ◽  
Momentum Strategies

scholarly journals Australian Stock Exchange and sub-variants of price momentum strategies

2018 ◽  
Vol 15 (1) ◽  
pp. 224-235
Author(s):  
Abdullah Ejaz ◽  
Petr Polak
Keyword(s):  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Investment Strategies ◽  
Momentum Effect ◽  
Short Term ◽  
Momentum Strategies ◽  
Price Momentum ◽  
Return Behavior

The aim of this study is to examine the sub-variants of price momentum strategies. The paper recommends which sub-variants post above average returns for Australian Stock Exchange. It also analyzes the return behavior of short-term momentum effect among sub-variants of price momentum strategies. It has been found that monthly price momentum strategies result in above average abnormal returns, whereas weekly price momentum strategies should be used in combination with monthly price momentum strategies. Trading volume-based momentum investment strategies should not be used at all.

Why Do Hedge Funds Avoid Disclosure? Evidence from Confidential 13F Filings

2013 ◽  
Vol 48 (5) ◽  
pp. 1499-1518 ◽  
Author(s):  
George O. Aragon ◽  
Michael Hertzel ◽  
Zhen Shi
Keyword(s):  
Hedge Funds ◽  
Hedge Fund ◽  
Abnormal Returns ◽  
Policy Debate ◽  
Current Policy ◽  
Proprietary Information ◽  
Front Running

AbstractWe study a sample of Form 13F filings where fund advisors seek confidential treatment for some or all of their 13(f)-reportable positions. Consistent with the hypothesis that managers seek confidentiality to protect proprietary information, we find that confidential positions earn positive and significant abnormal returns over the post-filing confidential period. We also find that managers are more likely to seek confidential treatment of illiquid positions that are more susceptible to front-running. Overall, our analysis highlights important benefits of reduced disclosure that are relevant to the current policy debate on hedge fund transparency.

The Effects of Share Repurchase Announcements on Returns in the Malaysia Stock Market

2018 ◽  
Vol 1 (1) ◽  
pp. 1 ◽  
Author(s):  
Tze San Ong ◽  
Pei San Ng
Keyword(s):  
Stock Market ◽  
Abnormal Return ◽  
Small Firms ◽  
Abnormal Returns ◽  
Share Repurchase ◽  
Before And After ◽  
Positive Abnormal Return ◽  
Repurchase Announcements ◽  
Signaling Hypothesis ◽  
Firm Characteristic

This paper examines the market response surrounding the share repurchase announcements of Malaysia Listed Companies from years 2012 to 2016. One sample T-test was carried out to identify the abnormal return in the range before and after 20 days from share repurchase announcements. The result shows a significant positive abnormal return in the day of repurchase announcements and continuously until day 1 after the announcements. Multiple regression analysis was performed in order to identify the firm characteristic of share repurchase. The finding is supported with information asymmetric, which shows that stock market reacts more favorably through the repurchase announcements by small firms than large firms. This study is consistent with the signaling hypothesis that shows share repurchase announcement can be an effective tool in stabilizing the stock market in Malaysia. The finding of this study acts as a useful tool for managers and investors to improve their decisions on share repurchase announcements in Malaysia. Company’s managers can conduct share repurchase announcements that are able to make the stock market react positively in order to generate positive abnormal returns.

The Russian ruble crisis of December 2014

2016 ◽  
pp. 66-86
Author(s):  
A. Obizhaeva
Keyword(s):  
Microstructure Analysis ◽  
Future Market ◽  
Effective Response ◽  
Large Order ◽  
Short Period ◽  
The Face ◽  
Front Running ◽  
Futures And Options

The paper presents a microstructure analysis of the crash of the Russian ruble in mid-December 2014. The author shows that the market break probably happened due to the execution of a large order that converted Russian rubles into U.S. dollars over a short period of a few days. Expirations of futures and options as well as possible front-running could have exacerbated the collapse of the Russian currency. The paper discusses measures taken by the Moscow Exchange and Bank of Russia during the episode and makes several recommendations to prevent a repetition of the similar events and provide an effective response in the face of future market breaks.

The Determinants of Merger Withdrawals’ Abnormal Returns in The Australian Market

2015 ◽  
pp. 89-110 ◽  
Author(s):  
Thuy Nguyen Thu ◽  
Giang Dao Thi Thu ◽  
Hoang Truong Huy
Keyword(s):  
Financial Crisis ◽  
Event Study ◽  
Abnormal Returns ◽  
Market Response ◽  
Crisis Period ◽  
Valuation Effects ◽  
Event Study Method ◽  
Private And Public ◽  
Method Of Payment ◽  
The Impact

This paper examines the abnormal returns in merger withdrawals in Australia, especially distinguishing the market response between private and public targets. We also study the determinants of those abnormal returns, including the method of payment and the impact of financial crisis periods. Using the event study method, we document that in the Australian context, the announced withdrawal of mergers involving private targets creates significantly negative valuation effects in comparison with the valuation effects in withdrawal of mergers involving public targets. We also find that a financial crisis period strongly affects abnormal returns of merger withdrawals. However, the method of payment does not have any impact on the abnormal returns.

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