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- W1787174201 abstract "We report strong evidence that changes of momentum, i.e. defined as the first difference of successive returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the momentum-sorted portfolios entirely but not the reverse. Thus, momentum can be considered an imperfect proxy for acceleration, and its success can be attributed to its correlation to the predominant Γ-factor. Γ-strategies based on the acceleration effect are on average profitable and beat momentum-based strategies in two out of three cases, for a large panel of parameterizations. The acceleration effect and the Γ-factor profit from transient non-sustainable accelerating (upward or downward) log-prices associated with positive feedback mechanisms." @default.
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- W1787174201 date "2015-01-01" @default.
- W1787174201 modified "2023-10-18" @default.
- W1787174201 title "The Acceleration Effect and Gamma Factor in Asset Pricing" @default.
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- W1787174201 doi "https://doi.org/10.2139/ssrn.2645882" @default.
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