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Momentum Crashes

Name: Momentum Crashes
Price: 18.95 EUR
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Author: Heinrich Stilling
ISBN: 9783346038319

Structures and characteristics that underline the periods of poor momentum performance

Bachelor Thesis, 2013

38 Pages, Grade: 1,7

Heinrich Stilling (Author)

Excerpt

List of Figures

List of Tables

List of Abbreviations

1. Introduction

2. The Momentum Investment Strategy – a General Overview
2.1 Mode of Operation
2.2 Sources of Momentum
2.3 Momentum in Equities and Other Asset Categories
2.4 Correlation with the Fama French Factors

3. Data, Construction and Application of the Momentum Portfolio
3.1 Data Origin and Portfolio Construction
3.2 Application of the Portfolio

4. Momentum Crashes
4.1 The Major Crash Periods
4.2 Crash Triggers
4.2.1 Skewness and Kurtosis
4.2.2 Bear Markets and Portfolio Betas
4.2.3 Non-Linearity of Market Returns in and after Bear Markets

5. The 2009 Momentum Crash – a Detailed Analysis
5.1 Qualitative Analysis: Companies in the Winner and Loser Portfolio
5.2 Quantitative Analysis: Insights into risk, size, trading volume, and value factors

6. Conclusion

Appendix

Sources

Excerpt out of 38 pages

Details

Title: Momentum Crashes
Subtitle: Structures and characteristics that underline the periods of poor momentum performance
College: University of Mannheim
Grade: 1,7
Author: Heinrich Stilling (Author)
Year: 2013
Pages: 38
Catalog Number: V500506
ISBN (eBook): 9783346038302
ISBN (Book): 9783346038319
Language: English
Keywords: Momentum Investig, Momentum Crashes, Momentum Strategy, Factor Investing, Momentum Factor, Momentum Factor Crash