Browsing by Author "Maydybura, Alina"

Now showing 1 - 2 of 2

Citation - WoS: 8
Citation - Scopus: 10
Less pain more gain: Volatility-adjusted residual momentum in international equity markets
(Taylor and Francis Ltd. michael.wagreich@univie.ac.at, 2018) Adam Zaremba; Mehmet Umutlu; Alina Maydybura; Maydybura, Alina; Zaremba, Adam; Umutlu, Mehmet
We offer a new type of momentum strategy — the volatility-adjusted residual momentum (VARMOM) — which is based on average past residuals scaled with their volatility. We demonstrate its application for international asset allocation within 51 country indexes and 888 industry portfolios from developed and emerging markets. The VARMOM trading strategy notably outperforms and subsumes a standard momentum strategy delivering Sharpe ratios that are two to three times higher. The VARMOM is particularly strong across portfolios characterised by high limits to arbitrage and following bull markets supporting the behavioural explanation of momentum. The results are robust to alternative portfolio construction methods as well as the inclusion of trading costs and control variables. They are also valid for several subperiods and subsamples. © 2018 Elsevier B.V. All rights reserved.
Citation - WoS: 32
Citation - Scopus: 36
Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns✰
(Elsevier B.V., 2020) Adam Zaremba; Mehmet Umutlu; Alina Maydybura; Maydybura, Alina; Zaremba, Adam; Umutlu, Mehmet
We are the first to demonstrate the decline in the cross-sectional predictability of country and industry returns in recent years. We examine 53 anomalies in country and industry indices from 64 markets for the years 1973–2018. The profitability of the strategies has significantly decreased recently driven particularly by the disappearance of value and reversal effects. The phenomenon is strongest in large developed markets. Neither changes in country- and industry-specific risks nor investor learning from the academic literature can explain the effect. Our findings support the view that the fall in return predictability is caused by the overall improvement in market efficiency. © 2020 Elsevier B.V. All rights reserved.