Publicação
Momentum predictability in the frequency domain
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Faria, Gonçalo Manuel A. Pereira Oliveira de | |
| dc.contributor.author | Caeiro, Francisco Miguel Vilamoura de Azeredo | |
| dc.date.accessioned | 2020-01-31T11:18:39Z | |
| dc.date.available | 2020-01-31T11:18:39Z | |
| dc.date.issued | 2018-06-27 | |
| dc.date.submitted | 2018 | |
| dc.description.abstract | In this dissertation I extend the analysis of Wang and Xu (2015) of momentum returns predictability to the frequency domain. The extensive literature on momentum has been essentially focused on what causes momentum, the description of momentum across industry sectors and countries and on its risk management. The very few works that addressed the topic of predictability of momentum returns, studied the role of investors psychological biases, market volatility and market liquidity but none of them exploited the frequency domain analysis of the predictors that have been used. I provide evidence that replacing the original predictors used in Wang and Xu (2015) by their frequency components delivers improved predictability. | pt_PT |
| dc.identifier.tid | 202101398 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10400.14/29408 | |
| dc.language.iso | eng | pt_PT |
| dc.subject | Momentum predictability | pt_PT |
| dc.subject | Frequency domain | pt_PT |
| dc.subject | Wavelets | pt_PT |
| dc.title | Momentum predictability in the frequency domain | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | Mestrado em Finanças | pt_PT |