Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7383569 | The Quarterly Review of Economics and Finance | 2017 | 47 Pages |
Abstract
It is new perspective on the momentum effect permitting its analysis from a comprehensive view taking into account the strategy's different design elements and observing how the disposition of investor preferences has changed depending on the criterion. We distinguish two criteria: (1) maximizing the mean return of the investment with control t-statistics and the author's innovation with the Bootstrap p-value, (2) minimizing the risk approximated by the number of drawdowns. This paper conducts the first comprehensive examination of the momentum effect on the Russian stock market.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Tamara Teplova, Evgeniya Mikova, Nikolai Nazarov,