Zaremba / Shemer Price-Based Investment Strategies

How Research Discoveries Reinvented Technical Analysis
1. Auflage 2018
ISBN: 978-3-319-91530-2
Verlag: Springer International Publishing
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 325 Seiten

Reihe: Progress in Mathematics

This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance-ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.

Adam Zaremba is Assistant Professor at the Pozna? University of Economics and Business, Poland. He is an economist, adviser, and portfolio manager for investment management companies. Zaremba has written numerous research papers on financial markets and is also an individual investor with many years' experience. Koby (Jacob) Shemer is an experienced asset manager in international capital markets. He is the founder of Analyst IMS, a public asset management firm, and AlphaBeta, a quantitative asset management company. During his career, he has been responsible for managing portfolios of assets totalling billions of US dollars.

Autoren/Hrsg.

Zaremba, Adam

Shemer, Jacob "Koby"

Inhaltsverzeichnis

1;Dedication;5
2;Praise Page;6
3;Preface;10
3.1;References;17
4;Acknowledgments;19
5;Contents;20
6;List of Figures;22
7;List of Tables;29
8;Chapter 1: Data, Portfolios, and Performance: How We Test the Strategies;30
8.1;What Data We Use?;30
8.2;Portfolios Structure;32
8.3;Evaluation of the Strategies;35
8.4;References;39
9;Chapter 2: The Trend Is Your Friend: Momentum Investing;45
9.1;What Is Momentum?;45
9.2;Does Momentum Work?;46
9.3;Why Momentum Works?;53
9.4;Improving the Momentum;63
9.5;Timing the Momentum;73
9.6;Alternative Trend-Following Signals;77
9.7;Empirical Test of Momentum Strategies;85
9.8;References;97
10;Chapter 3: Trees Do Not Grow to the Sky: Reversals in a Stock Market;115
10.1;What Is the Reversal Effect?;115
10.2;Evidence of the Reversal Phenomenon;117
10.3;Explaining the Reversal Effect;121
10.4;Improving the Reversal Strategies;130
10.5;Empirical Test of Long-Run Reversal;131
10.6;Short-Term Reversal: A Younger Cousin?;136
10.7;References;141
11;Chapter 4: No Pain, No Gain? The Puzzle of Risk-Return Relationship;153
11.1;The Low-Risk Anomaly;153
11.2;Measuring the Risk;156
11.2.1;Standard Deviation;156
11.2.2;Systematic Risk Market Risk;158
11.2.3;Idiosyncratic Risk;160
11.2.4;VaR;166
11.2.5;Exposure to Non-market Risk Factors;167
11.2.6;Non-price Risks;168
11.3;Why the Low-Risk Anomaly Exists?;170
11.4;Empirical Tests of Risk-Based Strategies;175
11.5;References;184
12;Chapter 5: Are Stocks Lotteries? The Shape of Distribution Matters;194
12.1;The Role of the Shape of the Distribution;194
12.2;Why the Skewness Matters?;197
12.3;Measuring Skewness;199
12.4;Empirical Test of Strategies Based on Skewness;208
12.5;References;216
13;Chapter 6: Januaries, Mays, and Lunar Cycles: Stock Selection with Seasonal Anomalies;221
13.1;Seasonal Effects in Equity Markets;221
13.2;Calendar Anomalies in the Cross-Section of Returns;227
13.3;Empirical Tests of Cross-Sectional Seasonality Strategies;228
13.4;References;232
14;Chapter 7: Predicting Prices Based on… Prices? The Role of Nominal Prices;239
14.1;The Role of Raw Prices;239
14.2;Reverse Splits;242
14.3;Empirical Test of the Strategies Based on Raw Price;244
14.4;References;248
15;Chapter 8: To Time or Not to Time? Tactical Allocation Across Strategies;252
15.1;Diversification Across Price-Based Strategies;253
15.2;Momentum Across Anomalies;254
15.3;The Role of Long-Term Returns;256
15.3.1;Cross-Sectional Seasonality;256
15.3.2;Empirical Test of Timing the Strategies;257
15.4;References;264
16;Chapter 9: Conclusions;267
17;References;270
18;Index;322