Post Profile






Stop-losses to Avoid Stock Momentum Crashes? [PREMIUM]

Can stop-loss rules solve the stock momentum crash problem? In the September 2016 update of their paper entitled “Taming Momentum Crashes: A Simple Stop-loss Strategy”, Yufeng Han, Guofu Zhou and Yingzi Zhu test the effectiveness of a somewhat complex stop-loss rule in limiting the downside risk of a stock momentum strategy. Each month, they rank stocks into More
read more

share

Related Posts


Avoiding Momentum Strategy Crashes [PREMIUM]

Business & Finance / Investing : CXOAG Investmenting Notes

Stock price momentum strategies sometime crash, greatly detracting from long-term performance. Is there a reliable way to avoid the crashes? In the April 2012 version of their paper entitled “Managing the Risk of Momentum”, Pedro Ba...

140-year Stock Momentum Strategy Crash Test [PREMIUM]

Business & Finance / Investing : CXOAG Investmenting Notes

What conditions foretell stock momentum strategy crashes? In their October 2014 paper entitled “Momentum Trading, Return Chasing, and Predictable Crashes”, Benjamin Chabot, Eric Ghysels and Ravi Jagannathan examine stock momentum st...

Best Stock Momentum Strategy Crash Indicator? [PREMIUM]

Business & Finance / Investing : CXOAG Investmenting Notes

What indicator works best to mitigate stock momentum strategy crashes? In his March 2015 paper entitled “Momentum Crash Management”, Mahdi Heidari compares performances of seven indicators for avoiding conventional stock momentum st...

Expected Stock Market Volatility and the Size Effect [PREMIUM]

Business & Finance / Investing : CXOAG Investmenting Notes

Is the size effect (small stocks tend to outperform large stocks) related to level of market risk as indicated by expected stock market volatility? In their September 2016 paper entitled “High Risk Episodes and the Equity Size Premi...

Stop-losses to Avoid Stock Momentum Crashes? [PREMIUM]

Business & Finance / Investing : CXOAG Investmenting Notes

Can stop-loss rules solve the stock momentum crash problem? In the March 2014 version of their paper entitled “Taming Momentum Crashes: A Simple Stop-loss Strategy”, Yufeng Han and Guofu Zhou test the effectiveness of a simple stop-...

Comments


Copyright © 2016 Regator, LLC