Related papers: Customer Momentum
Yes, but only at short lags. In this paper we investigate the relationship between factor momentum and stock momentum. Using a sample of 72 factors documented in the literature, we first replicate earlier findings that factor momentum…
We hypothesize that portfolio sorts based on the V/P ratio generate excess returns and consist of companies that are undervalued for prolonged periods. Results, for the US market show that high V/P portfolios outperform low V/P portfolios…
This paper aims to test the relationship between investor sentiment and the profitability of stocks listed on two emergent financial markets, the Moroccan and Tunisian ones. Two indirect measures of investor sentiment are used, SENT and…
In the past 20 years, momentum or trend following strategies have become an established part of the investor toolbox. We introduce a new way of analyzing momentum strategies by looking at the information ratio (IR, average return divided by…
We extract cyclic information in turnover and find it can explain the momentum echo. The reversal in recent month momentum is the key factor that cancels out the recent month momentum and excluding it makes the echo regress to a damped…
This study presents an analytical approach to sector rotation, leveraging both factor models and fundamental metrics. We initiate with a systematic classification of sectors, followed by an empirical investigation into their returns.…
Customer loyalty is crucial for internet services since retaining users of a service to ensure the staying time of the service is of significance for increasing revenue. It demands the retention of customers to be high enough to meet the…
Based on empirical evidences and previous studies, we introduce and mathematically study a perception-driven model for the dynamics of buyer populations in markets of perishable goods. Buyer behaviours are driven partly by some loyalty to…
We reverse-engineer the equilibrium construction process of asset prices in order to obtain returns which depend on firm characteristics, possibly in a linear fashion. One key requirement is that agents must have demands that rely…
Behavioral theories posit that investor sentiment exhibits predictive power for stock returns, whereas there is little study have investigated the relationship between the time horizon of the predictive effect of investor sentiment and the…
We study the problem of optimal long term portfolio selection with a view to beat a benchmark. Two kinds of objectives are considered. One concerns the probability of outperforming the benchmark and seeks either to minimise the decay rate…
The methodology presented provides a quantitative way to characterize investor behavior and price dynamics within a particular asset class and time period. The methodology is applied to a data set consisting of over 250,000 data points of…
Our study focuses on determining the presence of abnormal returns for physical momentum portfolios in the context of the Indian market. The physical momentum portfolios, comprising stocks from the NSE 500, are constructed for the daily,…
The goal of this paper is to explore the relationship between momentum effects and liquidity in cryptocurrency markets. Portfolios based on momentum-liquidity bivariate sorts are formed and rebalanced on a varying number of cryptocurrencies…
It is of high interest for a company to identify customers expected to bring the largest profit in the upcoming period. Knowing as much as possible about each customer is crucial for such predictions. However, their demographic data,…
In the seminal work [9], several macroscopic market observables have been introduced, in an attempt to find characteristics capturing the diversity of a financial market. Despite the crucial importance of such observables for investment…
We analyze characteristics' joint predictive information through the lens of out-of-sample power utility functions. Linking weights to characteristics to form optimal portfolios suffers from estimation error which we mitigate by maximizing…
This paper investigates the time-varying risk-premium relation of the Chinese stock markets within the framework of cross-sectional momentum and contrarian effects by adopting the Capital Asset Pricing Model and the French-Fama three factor…
We introduce various quantitative and mathematical definitions for price momentum of financial instruments. The price momentum is quantified with velocity and mass concepts originated from the momentum in physics. By using the physical…
We analyze correlations among stock returns via a series of widely adopted parameters which we refer to as explanatory variables. We subsequently exploit the results to propose a long only quantitative adaptive technique to construct a…