Market momentum: theory and practice

"Broadly, financial market momentum occurs when past high returns are followed by subsequent high returns, while past low returns are similarly followed by subsequent low returns. It is claimed that the momentum phenomenon contravenes the Efficient Markets Hypothesis. Consequently, it has been the subject of considerable study by behavioral economists. There are many books already published on momentum, but they have in common the characteristic that they are written by practitioners and aim to tell people how to get rich. There is a gap in the market for a holistic approach to the topic for both investment professionals and higher-level students, focusing on behavioral and statistical explanations for momentum, while also exploring the practical side of implementation"-

Includes index.

<P>Introduction: Andrew Grant and Steve Satchell</p> <p>1. Behavioural Finance and Momentum: Andrew Grant</p> <p>2. A Taxonomy of Momentum Strategies: Steve Satchell</p> <p>3. Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules, and Pairwise Correlations: Nick Baltas and Robert Kosowski</p> <p>4. Risk and Return of Momentum in Developed Equity Markets: Jose Menchero and Lei Ji</p> <p>5. Momentum across Asset Classes: Dan DiBartolomeo and Bill Zieff</p> <p>6. Momentum in Momentum ETFS: Katharina Schwaiger and Muhammad Massood</p> <p>7. CTA Momentum: Oliver Williams</p> <p>8. Overreaction and Faint Praise -- Short-Term Momentum in Contemporary Art: Oliver Williams and Anders Pedersen</p> <p>9. Volatility Managed Momentum: Yang Gao</p> <p>10. Theoretical Analysis of the Fama-French Portfolios: Andrew Grant, Oh Kang Kwon, and Steve Satchell</p> <p>11. Exploiting the Countercyclical Properties of Momentum and other Factor Premia A Cross-Country Perspective: Stefano Cavaglia, Vadim Moroz and Louis Scott</p> <p>12. Time Series Variation in Factor Premia The influence of the business cycle: Christopher Polk, Mo Haghbin and Alessio de Longis</p> <p>13. Where …