Package org.drip.investing.riskindex

Class MomentumFactorMeta

java.lang.Object
org.drip.investing.riskindex.MomentumFactorMeta
public class MomentumFactorMeta
extends java.lang.Object
MomentumFactorMeta contains the Meta Information behind the Momentum Factor. The References are:

  • Carhart, M. M. (1997): On Persistence of Mutual Fund Performance Journal of Finance 52 (1) 57-82
  • Fama, E. F., and K. R. French (1993): Common Risk Factors in the Returns on Stocks and Bonds Journal of Financial Economics 33 (1) 3-56
  • Hezbi, H., and A. Salehi (2016): Comparison of Explanatory Power of Carhart Four-factor Model and Fama-French Five-factor Model in Prediction of Expected Stock Returns Financial Engineering and Portfolio Management 7 (28) 137-152
  • Low, R. K. Y., and E. Tan (2016): The Role of Analysts’ Forecasts in the Momentum Effect International Review of Financial Analysis 48 67-84
  • Wikipedia (2024): Carhart Four Factor Model https://en.wikipedia.org/wiki/Carhart_four-factor_model


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    MomentumFactorMeta​(java.lang.String returnsHorizonTenor, java.lang.String lagWindowTenor)
    MomentumFactorMeta Constructor

  • Method Summary

    Modifier and Type Method Description
    static MomentumFactorMeta CRSP()
    Construct the CRSP Momentum Factor Meta Instance
    java.lang.String lagWindowTenor()
    Retrieve the Lag Window Tenor
    java.lang.String returnsHorizonTenor()
    Retrieve the Returns Horizon Tenor

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • MomentumFactorMeta

      public MomentumFactorMeta​(java.lang.String returnsHorizonTenor, java.lang.String lagWindowTenor) throws java.lang.Exception
      MomentumFactorMeta Constructor
      Parameters:
      returnsHorizonTenor - Returns Horizon Tenor
      lagWindowTenor - Lag Window Tenor
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • CRSP

      public static final MomentumFactorMeta CRSP()
      Construct the CRSP Momentum Factor Meta Instance
      Returns:
      The CRSP Momentum Factor Meta Instance

    • returnsHorizonTenor

      public java.lang.String returnsHorizonTenor()
      Retrieve the Returns Horizon Tenor
      Returns:
      The Returns Horizon Tenor

    • lagWindowTenor

      public java.lang.String lagWindowTenor()
      Retrieve the Lag Window Tenor
      Returns:
      The Lag Window Tenor