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

21 Pages Posted: 3 Dec 2015

Date Written: December 3, 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.

Suggested Citation

Inglis, Nick and Vanstone, Bruce James and Hahn, Tobias, Beyond Momentum: Investigating Statistical Learning for Winners-­Minus-­Losers Anomalies (December 3, 2015). 7th Australasian Actuarial Education and Research Symposium, Available at SSRN: https://ssrn.com/abstract=2698743 or http://dx.doi.org/10.2139/ssrn.2698743

Nick Inglis

Bond University ( email )

Gold Coast, QLD 4229
Australia

Bruce James Vanstone (Contact Author)

Bond University ( email )

Gold Coast, QLD 4229
Australia

Tobias Hahn

Bond University ( email )

Gold Coast, QLD 4229
Australia

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