The analytics of momentum

Oh Kang Kwon () and Stephen Satchell ()
Additional contact information
Oh Kang Kwon: The University of Sydney
Stephen Satchell: The University of Sydney

Journal of Asset Management, 2019, vol. 20, issue 6, No 3, 433-441

Abstract: Abstract Momentum-based investment strategies are widely used by practitioners, and their empirical properties have attracted considerable research interest from academics. This paper discusses some theoretical results on cross-sectional momentum, time-series momentum, and relative strength portfolio returns. We use simple examples to explain their relevance to both academics and practitioners alike despite the differences in their motivation and focus. We examine in detail the special case where there are only two underlying assets, and show analytically that many of the phenomena noted by empirical researchers have mathematical explanations.

Keywords: Cross-sectional momentum; Time-series momentum; Relative strength; Cross-sectional volatility (search for similar items in EconPapers)
JEL-codes: C40 G11 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1057/s41260-019-00130-8 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:20:y:2019:i:6:d:10.1057_s41260-019-00130-8

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/s41260-019-00130-8

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().