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The Trend Is Your Friend: Momentum Investing

  • Adam Zaremba
  • Jacob “Koby” Shemer
Chapter

Abstract

Momentum is defined as the tendency of securities with good (poor) past performance to overperform (underperform) in the future. It is one of the most pervasive anomalies ever discovered and evidenced across numerous asset classes. In this chapter, the authors reviewed diverse momentum techniques and their variations, presenting potential improvements: volatility scaling, timing the momentum crashes, time-series and intermediate versions of momentum, a trend range, and the 52-week high strategies. They provided theoretical explanations and surveyed rich empirical evidence of momentum profitability, testing three momentum-based strategies across 24 international equity markets.

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Copyright information

© The Author(s) 2018

Authors and Affiliations

  • Adam Zaremba
    • 1
  • Jacob “Koby” Shemer
    • 2
  1. 1.Poznan University of Economics and BusinessPoznanPoland
  2. 2.AlphaBetaTel AvivIsrael

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