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We propose a novel measure of the amount of arbitrage capital allocated to the momentum strategy to test whether arbitrageurs can have a destabilizing effect in the stock market. Our measure, which we dub comomentum, aims to capture the extent to which momentum trades by arbitrageurs become crowded. Specifically, we define comomentum as the high-frequency abnormal return correlation among stock...

Our study examines whether price momentum strategy (cross section momentum effect on longshort portfolios) can be profitable on Russian stock market. We testing the statistical significance of zero cost portfolio excess returns. Our sample covers the period from 2004 to 2013 capturing different states of Russian economy. We implement relative strength strategy with 10% quantile to construct equ...

The aim of this study is to investigate a behavioral approach by anchoring bias as a criterion to explain 52-week-high strategy and trough this we can find an explain for momentum strategy at uncertainty situation, to the companies listed on the Tehran Stock Exchange. The information uncertainty criteria include the book value to market value (BV / MV), company age (Age), the size of the entity...

This paper introduces assets for which the intrinsic value is endogenous to the amount of funding attracted. A Rational Expectations Equilibrium is developed. Additionally, simulations of the model based on bounded rationality explore the different market behavior under fundamental and momentum based investing strategies. Both strategies produce herding characteristics. The herding under the fu...

Momentum is the notion that an asset that has performed well in the past will continue to do so for some period. We study the optimal liquidation strategy for a momentum trade in a setting where the drift of the asset drops from a high value to a smaller one at some random change-point. This change-point is not directly observable for the trader, but it is partially observable in the sense that...