Trading performance in a financial crisis: momentum and the Covid-19 flash bear market
El Ghorayeb, Alessio (A.A. 2020/2021) Trading performance in a financial crisis: momentum and the Covid-19 flash bear market. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Paolo Porchia, pp. 72. [Master's Degree Thesis]
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Abstract/Index
Contribution and research questions. Literature review. What is momentum? Foundation of empirical evidence on the momentum effect. Explaining momentum. Momentum crashes. Data and methodology. Data. Portfolio construction. Methodology and research design. Results. Momentum characteristics overtime. Option like behaviour. VIX and momentum returns. Crash-proof momentum strategies. Robustness tests. Momentum in 2020 across equities and asset classes. Momentum's optionality and market-variance effects outside the US.
References
Bibliografia: pp. 59-61.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77) |
| Chair: | Asset pricing |
| Thesis Supervisor: | Porchia, Paolo |
| Thesis Co-Supervisor: | Pirra, Marco |
| Academic Year: | 2020/2021 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 10 May 2022 07:20 |
| Last Modified: | 10 May 2022 07:20 |
| URI: | https://tesi.luiss.it/id/eprint/32203 |
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