Crash-based quantitative trading strategies: Perspective of behavioral finance

Yan Fang, Jie Yuan, J. Jimmy Yang and Shangjun Ying

Finance Research Letters, 2022, vol. 45, issue C

Abstract: Inspired by the studies on stock market crashes, we use documented indicators from behavioral finance to construct two quantitative trading strategies, i.e., Crash + Timing Strategy and Crash + Momentum-Reversal Strategy. Empirical analyses show that both strategies are effective and robust. Behavioral factors can be beneficial to investors when they are incorporated into their trading strategies.

Keywords: Behavioral finance; Crash factor; Market timing; Momentum-reversal strategy (search for similar items in EconPapers)
JEL-codes: C22 G1 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002579

DOI: 10.1016/j.frl.2021.102185

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