Momentum and reversal strategies with low uncertainty

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE Finance Research Letters Pub Date : 2024-08-26 DOI:10.1016/j.frl.2024.105970

引用次数: 0

Abstract

We propose augmented momentum and reversal trading strategies that incorporate considerations of market entry timing. Market entry timing is determined by two criteria: (1) low uncertainty of the model used to forecast trading return, and (2) a positive forecasted return. Utilizing daily data from the Chinese stock market, we demonstrate that while canonical momentum and reversal trading strategies typically yield negative returns and skewness, our augmented strategies consistently exhibit positive returns and skewness. Additionally, we show that implementation of the two criteria does not significantly diminish trading opportunities, with identified market entry days evenly distributed throughout the sample period.

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低不确定性的动量和反转策略

我们提出的增强型动量和反转交易策略考虑了入市时机的因素。市场进入时机由两个标准决定：(1) 用于预测交易回报的模型的不确定性较低，以及 (2) 预测回报为正值。利用中国股市的每日数据，我们证明了典型的动量和反转交易策略通常会产生负收益和偏度，而我们的增强策略则始终表现出正收益和偏度。此外，我们还证明，实施这两个标准并不会显著减少交易机会，在整个样本期间，确定的入市日分布均匀。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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