Momentum and Relative Strength Papers from Chartered Alternative Investment Analyst (CAIA) Association
... REITs exhibit a strong and prevalent momentum effect that is not captured by conventional factor models. This REIT momentum anomaly hampers proper judgments about the performance of actively ...
... among the set of investable assets. Empirical tests of the momentum strategy consistently outperform the market over the past 10 years, ...
... This article reviews research on momentum in asset markets, with an emphasis on research involving momentum in commodity markets. Commodity markets are different than the markets ...
... abnormal profits. Continuation of short-term returns or momentum is one such pattern that has defied any rational explanation and is at ... with market efficiency. This paper shows that profits tomomentum strategies can be explained by a set of lagged macroeconomic variables ...
... Momentum effects in stock returns need not imply investor irrationality, ...
... and adjustments to ongoing holdings. Institutions act as momentum traders when they enter stocks but as contrarian traders when they ...
... and trading volume. Specifically, we find substantial momentum (reversals) in consecutive weekly returns when the latter week has ...
Year of Publication: 2003 Author(s): Ilmanen, Antti ; Byrne, Rory ...
Year of Publication: 2001 Author(s): Stevenson, Simon ...
