Characteristic-Balanced Momentum

DOI

10.2991/febm-16.2016.16How to use a DOI?

Keywords

characteristic-balanced momentum,high beta,risk exposure,momentum crash,conventional momentum

Abstract

Conventional momentum strategies tend to focus on high beta, small-cap stocks, and the risk exposure of the Fama-French factors is higher than common stocks. So in recent years, some literatures,like Blitz D, Huij J, Martens M.1,have pointed out that the Conventional momentum strategy will have a loss or momentum crash when the market states reverse. In this paper, we take the American market as the research object, and the momentum strategy is supposed to be formed by three characteristic, which are values of size, Book-to-market and beta. This strategy is named as Characteristic-balanced Momentum. And it is found that the return of characteristic-balanced momentum strategy has stronger stability and lower risk exposure to the above three factors.

Copyright

© 2016, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Yiran Shi
AU  - Xianchen Zhu
PY  - 2016/11
DA  - 2016/11
TI  - Characteristic-Balanced Momentum
BT  - Proceedings of the First International Conference Economic and Business Management 2016
PB  - Atlantis Press
SP  - 102
EP  - 107
SN  - 2352-5428
UR  - https://doi.org/10.2991/febm-16.2016.16
DO  - 10.2991/febm-16.2016.16
ID  - Shi2016/11
ER  -