Volatility Weighting Applied to Momentum Strategies

Plessis, Johan du; Hallerbach, Winfried G.

doi:10.3905/jai.2017.19.3.040

Cited by 14 publications

(2 citation statements)

References 19 publications

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“…Further financial academicians also recommend scaled momentum portfolios to minimize the risk (Dudler et al , 2015; Barroso and Santa-Clara, 2015; Daniel and Moskowitz, 2016; Moreira and Muir, 2017; Plessis and Hallerbach, 2016; Fan et al , 2018; Zaremba et al , 2018a, b; Grobys et al , 2018). By normalizing the past securities returns by their volatilities, Dudler et al (2015) suggest risk-adjusted absolute momentum strategies.…”

Section: Content Analysismentioning

confidence: 99%

“…Daniel and Moskowitz (2016) concentrate on dynamic volatility scaling and report similar results. Financial researchers compare these two volatility scaling approaches (constant and dynamic volatility scaling) and reveal that the dynamic volatility scaling approach is a more refined phenomenon (Fan et al , 2018; Plessis and Hallerbach, 2016). Further, Zaremba et al (2018a, b) incorporate the volatility scaling approach in residual momentum portfolios.…”

Section: Content Analysismentioning

confidence: 99%

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Mapping the scientific research on alternative momentum investing: a bibliometric analysis

Singh

Walia

Saravanan

et al. 2021

JEAS

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PurposeThis study aims to recognize the current dynamics, prolific contributors and salient trends and propose future research directions in the area of alternative momentum investing.Design/methodology/approachThe study uses a blend of electronic database and forward reference searching to ensure the incorporation of all the significant studies. With the help of the Scopus database, the present study retrieves 122 research papers published from 1999 to 2020.FindingsThe results reveal that alternative momentum investing is an emerging area in the field of momentum investing. However, this area has witnessed an exponential growth in last ten years. The study also finds that North American, West European and East Asian countries dominate in total research publications. Through network citation analysis, the study identifies five major clusters: industrial momentum, earnings momentum, 52-week high momentum, time-series momentum and risk-managed momentum.Research limitations/implicationsThe present review will serve as a guide for financial researchers who intend to work on alternative momentum approaches. The study proposes several unexplored research themes in alternative momentum investing on which future studies can focus.Originality/valueThe study embellishes the existing literature on momentum investing by contributing the first bibliometric review on alternative momentum approaches.

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Section: Content Analysismentioning

confidence: 99%

Section: Content Analysismentioning

confidence: 99%

Mapping the scientific research on alternative momentum investing: a bibliometric analysis

Singh

Walia

Saravanan

et al. 2021

JEAS

View full text Add to dashboard Cite

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Enhanced momentum strategies

Hanauer

Windmüller

2023

Journal of Banking & Finance

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Factor momentum, option-implied volatility scaling, and investor sentiment

2021

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Factor momentum produces robust average returns that exhibit a similar economic magnitude as stock price momentum. To the extent that the post-earnings announcement drift (PEAD) factor captures mispricing, winner factors earn profits from being long on underpriced stocks and short on overpriced stocks. Conversely, loser-factors’ negative exposure to the PEAD factor suggests that loser factors capture mispricing by being long on overpriced stocks and short on underpriced stocks. Option-implied volatility scaling increases both the economic magnitude and statistical significance of factor momentum. Factor momentum is not exposed to the same crashes as stock price momentum and therefore could provide a hedge for stock price momentum crash risks. Also, factor momentum mispricing is more pronounced when investor sentiment is high.

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Volatility Weighting Applied to Momentum Strategies

Cited by 14 publications

References 19 publications

Mapping the scientific research on alternative momentum investing: a bibliometric analysis

Mapping the scientific research on alternative momentum investing: a bibliometric analysis

Enhanced momentum strategies

Factor momentum, option-implied volatility scaling, and investor sentiment

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