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A upside/downside perspective to momentum strategies in the S&P 500: the development of a novel volatility model for stock selection
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Resumo(s)
The analysis brings forward a novel empirical model that accounts for upside-downside beta and introduces VIX as a measure of market volatility with the intention of improving the flaws of momentum strategies through a different stock selection process. The study focuses on the constituents of the S&P500 in the period 1985-2016. The study reveals that this strategy displays low volatility and other relative advantages in comparison to the market and to the classical price momentum; however it is significantly not profitable. The unprofitability of the latter is a stimulus to investigate a related stock selection based only on the excess returns generated by the individual assets prior to the investment period.
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Momentum Upside beta Downside beta Volatility