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Robustness tests of residual momentum strategies

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Prunier, Laurent ULiège
Promotor(s) : Lambert, Marie ULiège
Date of defense : 6-Sep-2016/12-Sep-2016 • Permalink : http://hdl.handle.net/2268.2/1798
Details
Title : Robustness tests of residual momentum strategies
Translated title : [fr] Tests de robustesse de stratégies de momentum résiduel
Author : Prunier, Laurent ULiège
Date of defense  : 6-Sep-2016/12-Sep-2016
Advisor(s) : Lambert, Marie ULiège
Committee's member(s) : Platania, Federico ULiège
Bonelli, Maxime 
Lebois, Pascal 
Language : English
Number of pages : 76
Keywords : [en] momentum
[en] residual
[en] returns
[en] risk
[en] factors
[en] asset
[en] pricing
[en] stock-specific
Discipline(s) : Business & economic sciences > Finance
Complementary URL : www.laurent-prunier.eu/mastersthesis
Institution(s) : Université de Liège, Liège, Belgique
Degree: Master en sciences de gestion, à finalité spécialisée en Banking and Asset Management
Faculty: Master thesis of the HEC-Ecole de gestion de l'Université de Liège

Abstract

[en] Contrary to conventional momentum, the literature treating the subject of residual momentum is very narrow. The aim of this thesis is to contribute to the literature by first using pricing models that have recently been proposed and were not available at the time previous researchers published their work. Second, by adopting the investor’s point of view with limited access to the market and its instruments, especially the ability to short sell stocks. This second choice is of particular interest for portfolio managers who sometimes have limited choices regarding the instruments they are allowed to use. Following the analysis, it appears residual momentum outperforms its conventional counterpart in every aspect scrutinized in this research. It seems there is no reason for an investor who is currently using the conventional momentum to not switch, at least partially, towards a residual momentum strategy.


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Author

  • Prunier, Laurent ULiège Université de Liège > Master sc. gest., fin. spéc. banking & asset (ex 2e master)

Promotor(s)

Committee's member(s)

  • Platania, Federico ULiège Université de Liège - ULg > HEC-Ecole de gestion de l'ULg : UER > Analyse financière et finance d'entreprise
    ORBi View his publications on ORBi
  • Bonelli, Maxime
  • Lebois, Pascal Ed. de Rotschild
  • Total number of views 133
  • Total number of downloads 1479










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