BUSI 4502 Lecture Notes - Lecture 9: Tracking Error, Nasdaq
30 Aug 2018
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Document Summary
Previous studies have convinced that both value and momentum strategies can be used to predict stock markets. According to fama and french (1992) value works because it proxies for an underlying factor related to distress. Asness (1995) showed that momentum strategies are effective even after accounting for common value measures. However, researchers are too focus on investigating both strategies individually and little research was made in understanding both strategies and their correlation among themselves. Hence, the main purpose of this study is to determine whether value and momentum strategies are dependent or related. The author examines whether the marginal power of value or momentum differs depending on the level of the other variable. The sample size in this study is the monthly data on all nyse, amex and nasdaq firms with necessary. The sample period is from 1963 to 1994. The authors also formed intersections of average monthly return during the past 12 months and industry relative log breakpoints.
