Bookcover of Momentum Strategies
Booktitle:

Momentum Strategies

Analysis of sector and regional index momentum strategies on MSCI basis

VDM Verlag Dr. Müller (2009-10-23 )

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ISBN-13:

978-3-639-20491-9

ISBN-10:
3639204913
EAN:
9783639204919
Book language:
English
Blurb/Shorttext:
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.
Publishing house:
VDM Verlag Dr. Müller
Website:
http://www.vdm-verlag.de
By (author) :
Daniel Rotzer
Number of pages:
96
Published on:
2009-10-23
Stock:
Available
Category:
Economics
Price:
49.00 €
Keywords:
Momentum Strategy, MSCI Index, Efficient Markets, Multifactormodel

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