AbstractTo summarise, this thesis contributes to the literature in the areas of momentum, portfolio construction and financial econometrics. We propose effective methods to mitigate momentum risks and improve momentum profits. To ensure that the improvements are not affected by false discoveries, we assess a variety of Multiple Hypothesis Testing (MHT) approaches and adopt the most desirable one to control for potential Type I errors. This thesis also emphasises the role of momentum across multiple asset classes and inspires new studies in momentum investment.
Thesis embargoed until 31 July 2023.
|Date of Award||Jul 2022|
|Supervisor||Fearghal Kearney (Supervisor) & Jiadong Liu (Supervisor)|