Factor momentum, option-implied volatility scaling, and investor sentiment
| annif.suggestions | security market|pricing|yield|securities (economics)|prices|financial markets|shares|investements|investors|stock prices|en | en |
| annif.suggestions.links | http://www.yso.fi/onto/yso/p12456|http://www.yso.fi/onto/yso/p10773|http://www.yso.fi/onto/yso/p4629|http://www.yso.fi/onto/yso/p3415|http://www.yso.fi/onto/yso/p750|http://www.yso.fi/onto/yso/p7536|http://www.yso.fi/onto/yso/p11398|http://www.yso.fi/onto/yso/p4320|http://www.yso.fi/onto/yso/p18430|http://www.yso.fi/onto/yso/p16650 | en |
| dc.contributor.author | Grobys, Klaus | |
| dc.contributor.author | Kolari, James W. | |
| dc.contributor.author | Rutanen, Jere | |
| dc.contributor.department | Innolab | - |
| dc.contributor.faculty | fi=Laskentatoimen ja rahoituksen yksikkö|en=School of Accounting and Finance| | - |
| dc.contributor.orcid | https://orcid.org/0000-0002-4121-3606 | - |
| dc.contributor.organization | fi=Vaasan yliopisto|en=University of Vaasa| | |
| dc.date.accessioned | 2021-09-15T05:53:00Z | |
| dc.date.accessioned | 2025-06-25T12:59:29Z | |
| dc.date.available | 2021-09-15T05:53:00Z | |
| dc.date.issued | 2021-07-03 | |
| dc.description.abstract | Factor momentum produces robust average returns that exhibit a similar economic magnitude as stock price momentum. To the extent that the post-earnings announcement drift (PEAD) factor captures mispricing, winner factors earn profits from being long on underpriced stocks and short on overpriced stocks. Conversely, loser-factors’ negative exposure to the PEAD factor suggests that loser factors capture mispricing by being long on overpriced stocks and short on underpriced stocks. Option-implied volatility scaling increases both the economic magnitude and statistical significance of factor momentum. Factor momentum is not exposed to the same crashes as stock price momentum and therefore could provide a hedge for stock price momentum crash risks. Also, factor momentum mispricing is more pronounced when investor sentiment is high. | - |
| dc.description.notification | © The Author(s) 2021. This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/. | - |
| dc.description.notification | Open access funding provided by University of Vaasa (UVA). | - |
| dc.description.reviewstatus | fi=vertaisarvioitu|en=peerReviewed| | - |
| dc.format.bitstream | true | |
| dc.format.content | fi=kokoteksti|en=fulltext| | - |
| dc.format.extent | 18 | - |
| dc.format.pagerange | 1-18 | - |
| dc.identifier.olddbid | 14856 | |
| dc.identifier.oldhandle | 10024/13080 | |
| dc.identifier.uri | https://osuva.uwasa.fi/handle/11111/1293 | |
| dc.identifier.urn | URN:NBN:fi-fe2021091546212 | - |
| dc.language.iso | eng | - |
| dc.publisher | Palgrave Macmillan | - |
| dc.relation.doi | 10.1057/s41260-021-00229-x | - |
| dc.relation.ispartofjournal | Journal of Asset Management | - |
| dc.relation.issn | 1479-179X | - |
| dc.relation.issn | 1470-8272 | - |
| dc.relation.url | https://doi.org/10.1057/s41260-021-00229-x | - |
| dc.rights | CC BY 4.0 | - |
| dc.source.identifier | WOS:000669277500001 | - |
| dc.source.identifier | Scopus: 85109350909 | - |
| dc.source.identifier | https://osuva.uwasa.fi/handle/10024/13080 | |
| dc.subject | Asset pricing | - |
| dc.subject | Factor momentum | - |
| dc.subject | Investor sentiment | - |
| dc.subject | Option-implied volatility scaling | - |
| dc.subject | VIX | - |
| dc.subject.discipline | fi=Laskentatoimi ja rahoitus|en=Accounting and Finance| | - |
| dc.title | Factor momentum, option-implied volatility scaling, and investor sentiment | - |
| dc.type.okm | fi=A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä|en=A1 Peer-reviewed original journal article|sv=A1 Originalartikel i en vetenskaplig tidskrift| | - |
| dc.type.publication | article | - |
| dc.type.version | publishedVersion | - |
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