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Construct J-K Overlapping Momentum Portfolios in Stata
 
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In this video, I want to show how to use Stata® program, asm.ado, that offers a large number of options which have been used in the the momentum literature. This program employs well-known momentum portfolio strategies as suggested in Jagadesh and Titman (1993) and many other options suggested in subsequent papers.
Views: 1564 Stata Professor
What is MOMENTUM INVESTING? What does MOMENTUM INVESTING mean? MOMENTUM INVESTING meaning
 
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What is MOMENTUM INVESTING? What does MOMENTUM INVESTING mean? MOMENTUM INVESTING meaning - MOMENTUM INVESTING definition - MOMENTUM INVESTING explanation. Source: Wikipedia.org article, adapted under https://creativecommons.org/licenses/by-sa/3.0/ license. SUBSCRIBE to our Google Earth flights channel - https://www.youtube.com/channel/UC6UuCPh7GrXznZi0Hz2YQnQ Momentum investing is a system of buying stocks or other securities that have had high returns over the past three to twelve months, and selling those that have had poor returns over the same period. It has been reported that this strategy gives average returns of 1% per month for the following 3–12 months as shown by Narasimhan Jegadeesh and Sheridan Titman. Momentum signals (e.g., 52-week high) have been shown to be used by financial analysts in their buy and sell recommendations. While no consensus exists about the validity of this claim, economists have trouble reconciling this phenomenon, using the efficient-market hypothesis. Two main hypotheses have been submitted to explain the effect in terms of an efficient market. In the first, it is assumed that momentum investors bear significant risk for assuming this strategy, and, therefore, the high returns are a compensation for the risk. It has also been shown that momentum strategies involve disproportionately trading in stocks with high bid-ask spreads and so it is important to take transactions costs into account when evaluating momentum profitability. The second theory assumes that momentum investors are exploiting behavioral shortcomings in other investors, such as investor herding, investor over and underreaction, and confirmation bias. Seasonal effects may help to explain some of the reason for success in the momentum investing strategy. If a stock has performed poorly for months leading up to the end of the year, investors may decide to sell their holdings for tax purposes. Increased supply of shares in the market drive its price down, causing others to sell. Once the reason for tax selling is eliminated, the stock's price tends to recover. Some investors may react to the inefficient pricing of a stock caused by momentum investing by using the tool of arbitrage. It is believed that George Soros used a variation of momentum investing by bidding up the price of already overvalued equities in the market for conglomerates in the 1960s and for real estate investment trusts in the 1970s. This strategy is termed positive feedback investing. Richard Driehaus is sometimes considered the father of momentum investing but the strategy can be traced back before Richard Donchian. The strategy takes exception with the old stock market adage of buying low and selling high. According to Driehaus, "far more money is made buying high and selling at even higher prices." As computer and networking speeds increase each year, there are many sub-variants of momentum investing being deployed in the markets by computer driven models. Some of these operate on a very small time scale, such as high-frequency trading, which often execute dozens or even hundreds of trades per minute. Although this is a reemergence of an investing style that was prevalent in the 1990s, ETFs for this style began trading in 2015.
Views: 433 The Audiopedia
What is FACTOR INVESTING? What does FACTOR INVESTING mean? FACTOR INVESTING meaning & explanation
 
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What is FACTOR INVESTING? What does FACTOR INVESTING mean? FACTOR INVESTING meaning -FACTOR INVESTING definition - FACTOR INVESTING explanation. Source: Wikipedia.org article, adapted under https://creativecommons.org/licenses/by-sa/3.0/ license. SUBSCRIBE to our Google Earth flights channel - https://www.youtube.com/channel/UC6UuCPh7GrXznZi0Hz2YQnQ Factor investing is an investment approach that involves targeting quantifiable firm characteristics or “factors” that can explain differences in stock returns. Over the last 50 years, academic research has identified hundreds of factors that impact stock returns. Security characteristics that may be included in a factor-based approach includes size, value, momentum, asset growth, profitability and leverage. A factor-based investment strategy involves tilting equity portfolios towards and away from specific factors in an attempt to generate long-term investment returns in excess of benchmarks. The approach is quantitative and based on observable data, such as stock prices and financial information, rather than on opinion or speculation. The earliest theory of factor investing originated with a research paper by Stephen A. Ross in 1976 on Arbitrage Pricing Theory, which argued that security returns are best explained by multiple factors. Prior to this, the Capital Asset Pricing Model (CAPM), theorized by academics in the 1960s, held sway. CAPM held that there was one factor that was the driver of stock returns and that a stock’s expected return is proportional to its beta, or sensitivity to equity market returns. In the following decades, academic research has continuously identified more factors that impact stock returns. For example, in 1981 a paper by Rolf Banz established a size premium in stocks—that smaller company stocks outperform larger companies over long time periods. In 1992, Eugene F. Fama and Kenneth B. French published a seminal paper that demonstrated a value premium, or the fact that expected returns of value stocks were higher than for growth stocks. In 1993, Sheridan Titman and Narasimhan Jegadeesh showed that there was a premium for investing in high momentum stocks. Other significant factors that have been identified are measures of corporate profitability, asset growth, external financing, leverage and research and development costs.
Views: 115 The Audiopedia

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