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.
Date of Award | 2018 |
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Original language | English |
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Awarding Institution | - Universidade Católica Portuguesa
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Supervisor | Gonçalo Manuel A. Pereira Oliveira de Faria (Supervisor) |
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Momentum predictability in the frequency domain
Caeiro , F. M. V. A. (Student). 2018
Student thesis: Master's Thesis