We test selected relative momentum and absolute momentum trading strategies inspired to Jegadeesh and Titman (1993) and to Moskowitz, Ooi and Pedersen (2012) respectively on a pool of Italian liquid stocks and on the Italian future contract on the FTSE MIB index. We find that, during the market rebound following the financial crash of 2020, past winners in our sample outperformed past losers, thus showing that the idea for which \textit{relative} momentum strategies tend to crash during market rebounds introduced in Daniel and Moskowitz (2016) does not apply to this case.
Performance delle strategie di momentum nella pandemia: uno studio empirico del caso italiano
TROCINO, ALESSANDRO
2019/2020
Abstract
We test selected relative momentum and absolute momentum trading strategies inspired to Jegadeesh and Titman (1993) and to Moskowitz, Ooi and Pedersen (2012) respectively on a pool of Italian liquid stocks and on the Italian future contract on the FTSE MIB index. We find that, during the market rebound following the financial crash of 2020, past winners in our sample outperformed past losers, thus showing that the idea for which \textit{relative} momentum strategies tend to crash during market rebounds introduced in Daniel and Moskowitz (2016) does not apply to this case.File in questo prodotto:
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Utilizza questo identificativo per citare o creare un link a questo documento:
https://hdl.handle.net/20.500.14240/153010