PlumX Metrics
SSRN
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The Acceleration Effect and Gamma Factor in Asset Pricing

SSRN Electronic Journal
2015
  • 1
    Citations
  • 22,078
    Usage
  • 47
    Captures
  • 1
    Mentions
  • 0
    Social Media
Metric Options:   Counts1 Year3 Year

Metrics Details

  • Citations
    1
    • Citation Indexes
      1
      • CrossRef
        1
  • Usage
    22,078
    • Abstract Views
      17,364
    • Downloads
      4,714
  • Captures
    47
  • Mentions
    1
    • News Mentions
      1
      • News
        1
  • Ratings
    • Download Rank
      4,150

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Article Description

We report strong evidence that changes of momentum, i.e. "acceleration", 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.

Bibliographic Details

Diego Ardila; Zalln Forrr; Didier Sornette

Elsevier BV

Asset pricing; momentum; positive feedbacks; acceleration; investment strategies

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