Please use this identifier to cite or link to this item:
https://www.um.edu.mt/library/oar/handle/123456789/68890
Title: | Momentum and reversals : an alternative explanation by non-conserved quantities |
Authors: | Appel, Dominik Dziergwa, Katrin Grabinski, Michael |
Keywords: | Momentum transfer Chaotic behavior in systems Values Quantity theory of money Cost |
Issue Date: | 2012 |
Publisher: | ISMASYSTEMS Scientific Research |
Citation: | Appel, D., Dziergwa, K., & Grabinski, M. (2012). Momentum and reversals: an alternative explanation by non-conserved quantities. International Journal of Finance, Insurance and Risk Management, 2(1), 8-16. |
Abstract: | The momentum effect in stock trading means that stocks performing well in the past will do so in the future, too. A recent (seemingly) proof of it would be a big discovery: Stock prices would obey laws similar to the Newtonian equation of motion. However, using the recent result that stock prices are distinct from stock values, the whole mystery disappears without a trace. Stock prices fluctuate chaotically (in a mathematical sense). Therefore the momentum within stock prices is easily explained by a self-fulfilling prophecy as long as enough people believe in it. In the recent experimental "proof" of the momentum effect, stocks had been traded thousands of times. In generalizing the well-known average cost effect, we give a second quantitative explanation for the observed results. |
URI: | https://www.um.edu.mt/library/oar/handle/123456789/68890 |
Appears in Collections: | Volume 2, Issue 1, 2012 |
Files in This Item:
File | Description | Size | Format | |
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Momentum_and_reversals.pdf | 797.03 kB | Adobe PDF | View/Open |
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