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dc.contributor.authorButt, HA
dc.contributor.authorVirk, Nader
dc.date.accessioned2018-10-24T07:29:30Z
dc.date.available2018-10-24T07:29:30Z
dc.date.issued2019-03
dc.identifier.issn1544-6123
dc.identifier.issn1544-6131
dc.identifier.urihttp://hdl.handle.net/10026.1/12595
dc.description.abstract

We analyse the behaviour of returns of various zero-investment (ZI) strategies motivated by the well-reported return crashes witnessed for momentum anomaly in down market states (DMS). We find that momentum crashes during market downturns are not unique. Instead, our results show that an alternating return generating process is at work across ZI strategies: almost half of ZI strategies exhibit momentum-like tendencies while the remainder displays an opposite pattern. In sum, this design is linked to the sign of systematic liquidity beta and the strength of falls/rises depend on the illiquidity gaps between the long and short portfolios of studied ZIS.

dc.format.extent246-253
dc.languageen
dc.language.isoen
dc.publisherElsevier
dc.rightsAttribution-NonCommercial 4.0 International
dc.rightsAttribution-NonCommercial 4.0 International
dc.rightsAttribution-NonCommercial 4.0 International
dc.rightsAttribution-NonCommercial 4.0 International
dc.rightsAttribution-NonCommercial 4.0 International
dc.rightsAttribution-NonCommercial 4.0 International
dc.rightsAttribution-NonCommercial 4.0 International
dc.rightsAttribution-NonCommercial 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by-nc/4.0/
dc.rights.urihttp://creativecommons.org/licenses/by-nc/4.0/
dc.rights.urihttp://creativecommons.org/licenses/by-nc/4.0/
dc.rights.urihttp://creativecommons.org/licenses/by-nc/4.0/
dc.rights.urihttp://creativecommons.org/licenses/by-nc/4.0/
dc.rights.urihttp://creativecommons.org/licenses/by-nc/4.0/
dc.rights.urihttp://creativecommons.org/licenses/by-nc/4.0/
dc.rights.urihttp://creativecommons.org/licenses/by-nc/4.0/
dc.subjectMomentum crashes
dc.subjectMarket downturns
dc.subjectZero-investment strategies
dc.subjectSystematic liquidity beta
dc.subjectIlliquidity gaps
dc.titleMarket downturns, zero investment strategies and systematic liquidity risk
dc.typejournal-article
dc.typeJournal Article
plymouth.author-urlhttps://www.webofscience.com/api/gateway?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000462265500035&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=11bb513d99f797142bcfeffcc58ea008
plymouth.volume28
plymouth.publication-statusPublished
plymouth.journalFinance Research Letters
dc.identifier.doi10.1016/j.frl.2018.05.010
plymouth.organisational-group/Plymouth
plymouth.organisational-group/Plymouth/Faculty of Arts, Humanities and Business
dcterms.dateAccepted2018-05-19
dc.rights.embargodate2019-5-23
dc.identifier.eissn1544-6131
dc.rights.embargoperiodNot known
rioxxterms.versionofrecord10.1016/j.frl.2018.05.010
rioxxterms.licenseref.urihttp://creativecommons.org/licenses/by-nc/4.0/
rioxxterms.typeJournal Article/Review


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