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Understanding Momentum and Reversals by pby5145 is a document available to read on EtoBox.

What is Understanding Momentum and Reversals about?

The document discusses momentum and reversal strategies in stock returns and whether they can be explained by time-varying risk exposures captured in a conditional factor pricing model. It establishes that momentum and reversal are strong predictors of future realized betas. It then uses an instrumented principal components analysis approach to estimate latent factors with time-varying factor loadings related to firm characteristics. The model shows factor loadings vary significantly over short horizons and

Author

pby5145

Language

EN