Maestría en Ciencias en Finanzas (tesis)

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Does time-varying systematic risk explain contrarian and momentum returns? : an analysis for emerging markets
(Universidad EAFIT, 2020) Cachope Nova, Cristhian José; Saravia Matus, Jimmy Agustín
Contrarian and momentum strategies have challenged the efficient market hypothesis as predictable patterns that allow investors to capitalize on past information and outperform market returns based on miss-reaction of naive investors. Market efficiency implies that agents are rational and, on average, the only way of achieving higher returns is by taking higher risks. This study investigates whether there are such predictable patterns in Emerging Markets and whether these profits are due to variation in time of systematic risk by estimating time-varying beta using a DCC model. Results indicate that these two strategies achieve higher returns because they are riskier and not because investors are irrational.