Implied Price Risk and Momentum Strategy
Implied Price Risk and Momentum Strategy
复制标题
隐含价格风险和动量策略
DOI：
10.1093/rof/rft019
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发表时间：
2014
影响因子：
4.4
通讯作者：
Hwai
中科院分区：
文献类型：
--
作者：
H. Chuang;Hwai
长期以来，研究股票收益的性质一直是金融学的一个中心话题。学术研究人员和从业人员进行的大多数定量分析只关注收益分布。然而，收益率分布本身很难帮助确定使用动量策略选择的赢家股票的价格是否达到价格下跌所带来的风险即将发生的水平。因此，我们构造了一个隐含价格风险指数来量化股票的下跌风险，并利用它来管理动量策略的尾部风险。实证结果表明，我们的改进策略不仅可以实现显着改善的整体业绩，而且还大大减少了2008年全球经济衰退所遭受的巨大损失。我们还建立了隐含价格风险指数和横截面收益差异之间的联系的基础上，众所周知的三个因素，市场贝塔，公司规模，账面市值比。
Examining the properties of stock returns has long been a central topic in finance. Most quantitative analyses conducted by academic researchers and practitioners focus only on the return distribution. However, the return distribution itself hardly helps to determine whether the price of a winner stock picked by using the momentum strategy reaches the level where the risk incurred from the falling of prices is imminent. Therefore, we construct an implied price risk index to quantify the downside risk of a stock and use it to manage the tail risk of the momentum strategy. The empirical results demonstrate that our modified strategy can not only achieve significant improvement on the overall performance but also substantially reduce the drastic losses suffered from the 2008 global recession. We also establish the connection between the implied price risk index and the cross-sectional return differences based on the well-known three factors, the market beta, the firm size, and the book-to-market ratio.
影响因子：
8
作者：
Narasimhan Jegadeesh
通讯作者：
Narasimhan Jegadeesh
20世纪70年代欧洲性别平等话语的互动与分歧
DOI：
--
发表时间：
2022
期刊：
影响因子：
--
作者：
Okada Isamu;Yanagi Itaru;Kubo Yoshiaki;Kikuchi Hirokazu;清水純;福田円;網谷龍介
通讯作者：
網谷龍介