Dr David Morelli from the Kent Business School presented a paper titled ‘ Momentum profits and conditional time-varying systematic risk’ at the 11th International conference in Finance held in Athens 1st – 4th July 2013.
The Athens Institute for Education and Research was established in 1995 as an independent world association of academics and researchers. Its mission is to become a forum where academics and researchers from all over the world could meet and exchange ideas on their research and discuss the future developments of their discipline.
In recent years there has been growing interest over the predictability of future security prices, and the adoption of investment strategies, based upon such predictions, producing abnormal returns. Momentum trading is one such investment strategy based upon the examination of past security prices. The paper presented by Dr David Morelli examined Momentum trading strategies within the UK Stock Market. This paper attempts to determine whether the higher returns found with momentum securities results from higher conditional time-varying systematic risk.