Science or scientism? On the momentum illusion
| annif.suggestions | security market|investments (economics)|securities portfolios|risks|shares|financial markets|investments|behaviour|scientism|finance|en | en |
| annif.suggestions.links | http://www.yso.fi/onto/yso/p12456|http://www.yso.fi/onto/yso/p4319|http://www.yso.fi/onto/yso/p17562|http://www.yso.fi/onto/yso/p11099|http://www.yso.fi/onto/yso/p11398|http://www.yso.fi/onto/yso/p7536|http://www.yso.fi/onto/yso/p4320|http://www.yso.fi/onto/yso/p3625|http://www.yso.fi/onto/yso/p11732|http://www.yso.fi/onto/yso/p1406 | en |
| dc.contributor.author | Grobys, Klaus | |
| 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 | 2024-08-28T06:21:14Z | |
| dc.date.accessioned | 2025-06-25T13:07:08Z | |
| dc.date.available | 2024-08-28T06:21:14Z | |
| dc.date.issued | 2024-07-02 | |
| dc.description.abstract | This study explores the risk of the traditional momentum strategy in terms of its realized variance using various data frequencies. It is shown that momentum risk is infinite regardless of the data frequency, implying that (a) t-statistics for this strategy do not exist, (b) correlation-based metrics such as Sharpe ratios do not exist either, and (c) the momentum premium is not observable in reality. It is further shown that the time-honored lognormal distribution is unable to accurately model extreme events observed at various variance data frequencies. Finally, it is shown that the well-known effect of time aggregation does not work for this investment vehicle. Hence, the study is forced to conclude that momentum stories have no valid foundation for their claims. | - |
| dc.description.notification | © The Author(s) 2024. 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.reviewstatus | fi=vertaisarvioitu|en=peerReviewed| | - |
| dc.format.bitstream | true | |
| dc.format.content | fi=kokoteksti|en=fulltext| | - |
| dc.format.extent | 41 | - |
| dc.identifier.olddbid | 21389 | |
| dc.identifier.oldhandle | 10024/17992 | |
| dc.identifier.uri | https://osuva.uwasa.fi/handle/11111/1524 | |
| dc.identifier.urn | URN:NBN:fi-fe2024082866584 | - |
| dc.language.iso | eng | - |
| dc.publisher | Springer Nature | - |
| dc.relation.doi | 10.1007/s10436-024-00446-5 | - |
| dc.relation.ispartofjournal | Annals of Finance | - |
| dc.relation.issn | 1614-2454 | - |
| dc.relation.issn | 1614-2446 | - |
| dc.relation.url | https://doi.org/10.1007/s10436-024-00446-5 | - |
| dc.rights | CC BY 4.0 | - |
| dc.source.identifier | WOS:001260431500001 | - |
| dc.source.identifier | Scopus:85197407551 | - |
| dc.source.identifier | https://osuva.uwasa.fi/handle/10024/17992 | |
| dc.subject | Asset pricing | - |
| dc.subject | Financial risk | - |
| dc.subject | Momentum | - |
| dc.subject | Power laws | - |
| dc.subject | Realized variance | - |
| dc.subject | Risk | - |
| dc.subject | Time aggregation | - |
| dc.subject.discipline | fi=Laskentatoimi ja rahoitus|en=Accounting and Finance| | - |
| dc.title | Science or scientism? On the momentum illusion | - |
| 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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