Arbeitspapier
Return Signal Momentum
A new type of momentum based on the signs of past returns is introduced. This momentum is driven primarily by sign dependence, which is positively related to average return and negatively related to return volatility. An empirical application using a universe of commodity and financial futures offers supporting evidence for the existence of such momentum. Investment strategies based on return signal momentum result in higher returns and Sharpe ratios and lower drawdown relative to time series momentum and other benchmark strategies. Overall, return signal momentum can benefit investors as an effective strategy for speculation and hedging
- Sprache
-
Englisch
- Erschienen in
-
Series: QMS Research Paper ; No. 2019/04
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
International Financial Markets
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Papailias, Fotis
Liu, Jiadong
Thomakos, Dimitrios D.
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen's University Belfast, Queen's Management School
- (wo)
-
Belfast
- (wann)
-
2019
- DOI
-
doi:10.2139/ssrn.2971444
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Papailias, Fotis
- Liu, Jiadong
- Thomakos, Dimitrios D.
- Queen's University Belfast, Queen's Management School
Entstanden
- 2019
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