Beyond Momentum: Investigating Statistical Learning for Winners-Minus-Losers Anomalies

21 Pages Posted: 20 Aug 2015

Date Written: August 20, 2015

Abstract

Financial market anomalies are reviewed and categorized, and the “winners minus losers” anomalies - short-term reversal, Momentum and long-term reversion - are discussed. Literature on extensions to the Momentum anomaly, by incorporating market and fundamental information, is examined. Statistical learning strategies are reviewed, with the goal of applying them to consolidating and improving Momentum.

Keywords: Momentum, Anomaly, Statistical Learning

JEL Classification: G11, G14

Suggested Citation

Inglis, Nick and Vanstone, Bruce James and Hahn, Tobias, Beyond Momentum: Investigating Statistical Learning for Winners-Minus-Losers Anomalies (August 20, 2015). 28th Australasian Finance and Banking Conference. Available at SSRN: https://ssrn.com/abstract=2647864

Nick Inglis (Contact Author)

Bond University ( email )

Gold Coast, QLD 4229
Australia

Bruce James Vanstone

Bond University ( email )

Gold Coast, QLD 4229
Australia

Tobias Hahn

Bond University ( email )

Gold Coast, QLD 4229
Australia

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