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Momentum Investing Across Different Asset Classes
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Author(s): Zrinka Orlović (Faculty of Economics and Business, University of Zagreb, Croatia), Zrinka Lovretin Golubić (Faculty of Economics and Business, University of Zagreb, Croatia)and Davor Zoričić (Faculty of Economics and Business, University of Zagreb, Croatia)
Copyright: 2021
Pages: 19
Source title:
Recent Applications of Financial Risk Modelling and Portfolio Management
Source Author(s)/Editor(s): Tihana Škrinjarić (University of Zagreb, Croatia), Mirjana Čižmešija (University of Zagreb, Croatia)and Bryan Christiansen (Global Training Group, Ltd, UK)
DOI: 10.4018/978-1-7998-5083-0.ch015
Purchase
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Abstract
Instead of traditionally looking at investing in different types of asset classes in order to exploit diversification effects, investors are turning to the underlying performance drivers built-in in many asset classes – factors. The intuition is that assets earn risk premiums because they are exposed to underlying risk factors. Factor models were developed as a simplification and continuation of diversification principle and mean-variance efficiency introduced by Harry Markowitz. This chapter will focus on one of the standard investment and cross section factors called momentum. It became very popular since 1993 when Jegadeesh and Titman documented that strategies that buying stocks that have performed well in the past and selling stocks that have performed poorly generate significant positive returns. This chapter aims to provide an introduction to factor models development and momentum effects on stock and bond markets – description of methodology and detailed literature overview.
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