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Augmented Value with Momentum |
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| รหัสดีโอไอ | |
| Creator | Sampan Nettayanun |
| Title | Augmented Value with Momentum |
| Publisher | Assumption University |
| Publication Year | 2565 |
| Journal Title | ABAC Journal |
| Journal Vol. | 42 |
| Journal No. | 1 |
| Page no. | 36-51 |
| Keyword | value, momentum, investing, empirical asset pricing |
| URL Website | www.abacjournal.au.edu |
| Website title | ABAC Journal |
| ISSN | 0858-0855 |
| Abstract | This study explores the implementation of value strategies using augmentation with a wide range of momentum anomalies. The strategy uses an equal weight between value and momentum, implemented with data from 1972 to 2020. Among the 15 anomalies considered, there were two significant value anomalies and seven significant momentum anomalies. Various definitions state that momentum reduces the risk of an equity value portfolio across the board in risk-adjusted return measures. The increases in performance with lower volatility are because value strategy helps momentum during momentum crashes, coupled with negative correlations between these two anomalies. Momentum anomalies also increase the overall average monthly returns of value strategies. The study also compares how the augmented q-factor and Fama-French factor models explain value when augmented with momentum portfolios. The augmented q-factor model outperforms the Fama-French five and six-factor models using the number of significant α’s as criteria. Using the adjusted R² the Fama-French six-factor model outperforms in explaining the augmented portfolios. |
