Transaction Costs Trading Volume And Momentum Strategies PDF Download
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| Author | : Xiafei Li |
| Publisher | : |
| Total Pages | : |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
Download Transaction Costs, Trading Volume and Momentum Strategies Book in PDF, ePub and Kindle
This study considers the relationship between trading volumes, transactions costs, and the profitability of momentum strategies using data from the UK. We demonstrate that round-trip transactions costs for selling loser firms are around double those of buying winners, and in particular, the costs of selling low volume losers is more than twice as high as the cost of selling low volume winners. By contrast, there are only modest differences between the costs of buying winners and losers, irrespective of their volume levels. Yet we observe that, even in net terms, momentum strategies based on low volume stocks are more profitable than those using high volume stocks. We also note important differences between transactions costs measured using quoted versus effective spreads. Altogether, our findings should sound a word of caution for any study attempting to evaluate the impact of transactions costs on momentum profitability that such costs are very heterogeneous across firms and trade types, implying that they require careful calculation.
| Author | : Xiafei Li |
| Publisher | : |
| Total Pages | : 18 |
| Release | : 2009 |
| Genre | : |
| ISBN | : |
Download Low-Cost Momentum Strategies Book in PDF, ePub and Kindle
The article analyses the impact of trading costs on the profitability of momentum strategies in the UK and concludes that losers are more expensive to trade than winners. The observed asymmetry in the costs of trading winners and losers crucially relates to the high cost of selling loser stocks with small size and low trading volume. Since transaction costs severely impact net momentum profits, the paper defines a new low-cost relative-strength strategy by shortlisting from all winner and loser stocks those with the lowest total transaction costs. While the study severely questions the profitability of standard momentum strategies, it concludes that there is still room for momentum-based return enhancement, should asset managers decide to adopt low-cost relative-strength strategies.
| Author | : Mr.Charles Frederick Kramer |
| Publisher | : International Monetary Fund |
| Total Pages | : 36 |
| Release | : 1994-10-01 |
| Genre | : Business & Economics |
| ISBN | : 1451854870 |
Download Noise Trading, Transaction Costs, and the Relationship of Stock Returns and Trading Volume Book in PDF, ePub and Kindle
The relationship of stock returns and trading volume is the focus of much recent interest. I examine an economic model of a rational trader who operates in a market with transactions costs and noise trading. The level of trading affects the rational trader’s marginal cost of transacting; as a result, trading volume is a source of risk. This engenders an equilibrium relationship between returns and volume. The model also provides a simple way to scrutinize this relationship empirically. Empirical evidence supports the implications of the model.
| Author | : Charles Kramer |
| Publisher | : |
| Total Pages | : |
| Release | : 1998 |
| Genre | : |
| ISBN | : |
Download Noise Trading, Transaction Costs, and the Relationship of Stock Returns and Trading Volume Book in PDF, ePub and Kindle
I examine an economic model of a rational trader who operates in a market with transactions costs and noise trading. The level of trading affects the rational trader's marginal cost of transacting; as a result, trading volume is a source of risk. This engenders an equilibrium relationship between returns and volume. The model also provides a simple way to scrutinize this relationship empirically. Empirical evidence supports the implications of the model.
| Author | : Bryan Foltice |
| Publisher | : |
| Total Pages | : 32 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download Profitable Momentum Trading Strategies for Individual Investors Book in PDF, ePub and Kindle
For nearly three decades, scientific studies have explored momentum investing strategies and observed stable excess returns in various financial markets. However, the trading strategies typically analyzed in such research are not accessible to individual investors due to short selling constraints, nor are they profitable due to high trading costs. Incorporating these constraints, we explore a simplified momentum trading strategy that only exploits excess returns from topside momentum for a small number of individual stocks. Building on US data from the New York Stock Exchange from July 1991 to December 2010, we analyze whether such a simplified momentum strategy outperforms the benchmark after factoring in realistic transaction costs and risks. We find that the strategy can indeed work for individual investors with initial investment amounts of at least $5,000. In further attempts to improve this practical trading strategy, we analyze an overlapping momentum trading strategy consisting of a more frequent trading of a smaller number of “winner” stocks. We find that increasing the trading frequency initially increases the risk-adjusted returns of these portfolios up to an optimal point, after which excessive transaction costs begin to dominate the scene. In a calibration study, we find that, depending on the initial investment amount of the portfolio, the optimal momentum trading frequency ranges from bi-yearly to monthly.
| Author | : Wesley R. Gray |
| Publisher | : John Wiley & Sons |
| Total Pages | : 198 |
| Release | : 2016-09-13 |
| Genre | : Business & Economics |
| ISBN | : 1119237254 |
Download Quantitative Momentum Book in PDF, ePub and Kindle
The individual investor's comprehensive guide to momentum investing Quantitative Momentum brings momentum investing out of Wall Street and into the hands of individual investors. In his last book, Quantitative Value, author Wes Gray brought systematic value strategy from the hedge funds to the masses; in this book, he does the same for momentum investing, the system that has been shown to beat the market and regularly enriches the coffers of Wall Street's most sophisticated investors. First, you'll learn what momentum investing is not: it's not 'growth' investing, nor is it an esoteric academic concept. You may have seen it used for asset allocation, but this book details the ways in which momentum stands on its own as a stock selection strategy, and gives you the expert insight you need to make it work for you. You'll dig into its behavioral psychology roots, and discover the key tactics that are bringing both institutional and individual investors flocking into the momentum fold. Systematic investment strategies always seem to look good on paper, but many fall down in practice. Momentum investing is one of the few systematic strategies with legs, withstanding the test of time and the rigor of academic investigation. This book provides invaluable guidance on constructing your own momentum strategy from the ground up. Learn what momentum is and is not Discover how momentum can beat the market Take momentum beyond asset allocation into stock selection Access the tools that ease DIY implementation The large Wall Street hedge funds tend to portray themselves as the sophisticated elite, but momentum investing allows you to 'borrow' one of their top strategies to enrich your own portfolio. Quantitative Momentum is the individual investor's guide to boosting market success with a robust momentum strategy.
| Author | : Stefan Gerhold |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download Transaction Costs, Trading Volume, and the Liquidity Premium Book in PDF, ePub and Kindle
In a market with one safe and one risky asset, an investor with a long horizon, constant investment opportunities, and constant relative risk aversion trades with small proportional transaction costs. We derive explicit formulas for the optimal investment policy, its implied welfare, liquidity premium, and trading volume. At the first order, the liquidity premium equals the spread, times share turnover, times a universal constant. Results are robust to consumption and finite-horizons. We exploit the equivalence of the transaction cost market to another frictionless market, with a shadow risky asset, in which investment opportunities are stochastic. The shadow price is also found explicitly.
| Author | : Stephen Satchell |
| Publisher | : John Wiley & Sons |
| Total Pages | : 432 |
| Release | : 2020-09-15 |
| Genre | : Business & Economics |
| ISBN | : 1119599474 |
Download Market Momentum Book in PDF, ePub and Kindle
A one-of-a-kind reference guide covering the behavioral and statistical explanations for market momentum and the implementation of momentum trading strategies Market Momentum: Theory and Practice is a thorough, how-to reference guide for a full range of financial professionals and students. It examines the behavioral and statistical causes of market momentum while also exploring the practical side of implementing related strategies. The phenomenon of momentum in finance occurs when past high returns are followed by subsequent high returns, and past low returns are followed by subsequent low returns. Market Momentum provides a detailed introduction to the financial topic, while examining existing literature. Recent academic and practitioner research is included, offering a more up-to-date perspective. What type of book is Market Momentum and how does it serve a range of readers’ interests and needs? A holistic market momentum guide for industry professionals, asset managers, risk managers, firm managers, plus hedge fund and commodity trading advisors Advanced text to help graduate students in finance, economics, and mathematics further develop their funds management skills Useful resource for financial practitioners who want to implement momentum trading strategies Reference book providing behavioral and statistical explanations for market momentum Due to claims that the phenomenon of momentum goes against the Efficient Markets Hypothesis, behavioral economists have studied the topic in-depth. However, many books published on the subject are written to provide advice on how to make money. In contrast, Market Momentum offers a comprehensive approach to the topic, which makes it a valuable resource for both investment professionals and higher-level finance students. The contributors address momentum theory and practice, while also offering trading strategies that practitioners can study.
| Author | : Thomas J. George |
| Publisher | : |
| Total Pages | : |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
Download Trading Volume and Transaction Costs in Specialist Markets Book in PDF, ePub and Kindle
Prior work with competitive rational expectations equilibrium models indicates that there should be a positive relation between trading volume and differences in beliefs or information among traders. We show that this result is sensitive to whether and how transaction costs are modeled. In a specialist market with endogenous transaction costs we show that trading volume can be negatively related to the degree of informational asymmetry in the market. Our analysis highlights the dependence of volume on market structure, and our results suggest that the quot;volume effectsquot; of corporate or macroeconomic events reflect a decrease, rather than an increase, in heterogeneity of beliefs or asymmetry of information.
| Author | : Dominik Schoenenberger |
| Publisher | : |
| Total Pages | : |
| Release | : 2006 |
| Genre | : |
| ISBN | : |
Download Momentum Trading Strategies on Stock Markets Book in PDF, ePub and Kindle
In this paper, I examine the validity of the efficient market hypothesis EMH. Autocorrelation tests with a variety of stock market indices and individual stocks show clear evidence of market inefficiency in several cases. Especially some new market indices do autocorrelate significantly. For these phenomena, behavioural finance has sound explanations of which some are discussed. As an ultimate significance test, positive feedback strategies are developed and applied to past stock returns to prove that the results of the tests are actually useful: Even after taking transaction costs into account, some momentum strategies achieve superior returns compared to their underlying securities.
