Implied Price Risk and Momentum Strategy*

Chuang, Hongwei; Ho, Hwai Chung

doi:10.1093/rof/rft019

Cited by 16 publications

(3 citation statements)

References 45 publications

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“…The evidence has been extended to stocks in other countries (Fama and French 1998), stocks within industries (Cohen and Lou 2012), across industries (Cohen and Frazzini 2008), and the global market with different asset classes (Asness, Moskowitz and Pedersen 2013). See also Chuang and Ho (2014) and Cremers and Pareek (2015) on momentum trading.…”

Section: Introductionmentioning

confidence: 99%

Asset allocation with time series momentum and reversal

2018

Journal of Economic Dynamics and Control

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Abstract. We develop a continuous-time asset price model to capture the well documented time series momentum and reversal effects. The optimal asset allocation strategy is derived theoretically and tested empirically. We show that, by combining with market fundamentals and timing opportunity with respect to market trend and volatility, the optimal strategy based on the time series momentum and reversal outperforms significantly, both in-sample and out-of-sample, the S&P500 and pure strategies based only on either time series momentum or reversal. The results are robust for different time horizons. Furthermore, the outperformance is immune to short-sale constraints, market states, investor sentiment and market volatility.Key words: Momentum, reversal, optimal asset allocation, performance JEL Classification: G12, G14, E32 Asset Allocation with Time Series Momentum and Reversal AbstractWe develop a continuous-time asset price model to capture the well documented time series momentum and reversal effects. The optimal asset allocation strategy is derived theoretically and tested empirically. We show that, by combining with market fundamentals and timing opportunity with respect to market trend and volatility, the optimal strategy based on the time series momentum and reversal outperforms significantly, both in-sample and out-of-sample, the S&P500 and pure strategies based only on either time series momentum or reversal. The results are robust for different time horizons. Furthermore, the outperformance is immune to short-sale constraints, market states, investor sentiment and market volatility.

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Section: Introductionmentioning

confidence: 99%

Asset allocation with time series momentum and reversal

2018

Journal of Economic Dynamics and Control

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“…See alsoBarroso and Santa-Clara (2013),Chuang and Ho (2013),Huang (2013), and Lou and Polk (2013).5 SeeLizunov (2004).…”

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confidence: 99%

Momentum in Imperial Russia

Goetzmann

Huang

2018

Journal of Financial Economics

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Some of the leading theories of momentum have different empirical predictions about its profitability conditional on market composition and structure. The overconfidence explanation provided by Daniel, Hirshleifer, and Subrahmanyam (1998), for example, predicts lower momentum profits in markets with more sophisticated investors. The information-based theory of Hong and Stein (1999) predicts lower momentum profits in markets with lower informational frictions. The institutional theory of Vayanos and Woolley (2013) predicts lower momentum profits in markets with less agency. In this paper, we use a dataset from a major 19th century equity market to test these predictions. Over this period, there was no evidence of delegated management in Imperial Russia. A regulatory change in 1893 made speculating on the St. Petersburg stock market more accessible to small investors. We find a momentum effect that is similar in magnitude to those in modern markets and stronger during the post-1893 period than during the pre-1893 period, consistent with the overconfidence theory of momentum.

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“…Eighty-five articles (16 %) were international collaboration, while the other 452 articles (86 %) were independent articles, contributed by only one country. The collaboration rate (16 %) was less than 20 % in the field chemical engineering sorption technology for water treatment [52], similar with 17 % of top cited reviews with more than 1,000 citations [42] and greater than 14 % of in adsorption research [27]. The citations per article for independent articles (166) was greater than that of internationally-collaborative articles (161).…”

Section: Resultsmentioning

confidence: 75%

Highly Cited Articles of Corrosion Research in Science Citation Index Expanded

Fu¹,

Ho²

2018

Asian J. Chem.

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Two chapters entitled "of the mechanical origin of corrosiveness" and "of the mechanical origin of corrodibility" by Robert Boyle in 1675 were considered the origin of corrosion research [1]. In the beginning of 19 th century, the whole subject of corrosion was observed an electrochemical phenomenon [2]. The corrosion of ammonium nitrite [3], diazo solutions [4], brasses [5], iron and steel [6] were paid attention. The research on the corrosion of brasses in 1907 received an award granted by the American Electrochemical Society [5]. The Technical Committee on Corrosion, the forerunner of the Corrosion Division of electrochemical society, was formed in 1921 [7]. In 1930s, important symposia "inhibitors, corrosion and pH, corrosion of alloys and influence of cathodic reactions on corrosion" were presented [7]. Pourbaix [8] introduced thermodynamics in corrosion studies and potential-pH diagrams, now known as Pourbaix Diagram [9]. The emergence of new electrochemical and non-electrochemical techniques for the study of corrosion reactions and corrosion products greatly accelerated during the 1970s and has continued to the present day [10]. Some outstanding scholars e.g.

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Implied Price Risk and Momentum Strategy*

Cited by 16 publications

References 45 publications

Asset allocation with time series momentum and reversal

Asset allocation with time series momentum and reversal

Momentum in Imperial Russia

Highly Cited Articles of Corrosion Research in Science Citation Index Expanded

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