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Anotace knihy

This thesis investigates price momentum of sector and region indices on the MSCI basis from January 1985 for sectors and January 1970 for re-gions to January 2008 relative to the MSCI World benchmark. It is shown that return continuation can be found for winner indices whereas loser indices exhibit a return reversal. Winner indices systematically outperform loser indices. The evaluated momentum strategies generate abnormal profits in the overall sample but also in different market environments. Re- turns are correlated with the market environment. A diversified index port-folio does not achieve a better risk-adjusted performance than a single index investment. In the CAPM and Fama-French framework, these mo-mentum profits can not be explained a statistically significant positive alpha remains. Macroeconomic lagged factors can partly explain momen-tum profits but remain undetermined.

Parametry knihy

Zařazení knihy Knihy v angličtině Economics, finance, business & management Economics

• Plný název: Momentum Strategies
• Podnázev: Analysis of sector and regional index momentum strategies on MSCI basis
• Autor: Daniel Rotzer
• Jazyk: Angličtina
• Vazba: Brožovaná
• Počet stran: 96
• EAN: 9783639204919
• ISBN: 3639204913
• ID: 06828473
• Nakladatelství: VDM Verlag
• Hmotnost: 150 g
• Rozměry: 229 × 152 × 6 mm
• Datum vydání: 23. October 2009

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