Research
Research
Tomtosov A. (2024). Momentum on historical high. Finance Research Letters. 69, Article 106216. Link
This paper decomposes the long side of momentum portfolio holdings by comparing the location
of recent prices to historically high prices. Stocks with prices near historical highs represent 45
percent of holdings in momentum and 70 percent of returns. Momentum portfolios formed in
the stock universe with stocks closed to historical highs provide 6.2% alpha in comparison with
1.3% for momentum formed from stocks out of historical highs. The historical high momentum
portfolio performance is sustainable to control for the lagged momentum of Novy-Marx (2012)
and the 52-week high ratio of George and Hwang (2004).
Tomtosov A. (2024). Overlapping portfolio holdings and unique sources of emerging market risk. Borsa Istanbul Review. 24 (1), 201–217. Link
Momentum, size, and low volatility in emerging markets regularly exhibit increased correlations across factors and markets in periods of negative returns. I provide a framework to distinguish a unique source of risk from a set of factors in the stage of portfolio formation. The framework is based on discarding duplicate positions that exceed half the portfolios in periods of factor comovement. Unique factors eliminate rising correlation and factor crashes. The results are robust for the most recent financial shocks. For practitioners, the approach helps in distinguishing original investment strategies and provides opportunities for active management in emerging markets.
Teplova, T., Tomtosov, A. and Sokolova T. (2022). A retail investor in a cobweb of social networks. PLOS One. 17 (12). Article e0276924. Link
Teplova, T., and Tomtosov, A. (2021). Can high trading volume and volatility switch boost momentum to show greater inefficiency and avoid crashes in emerging markets? The economic relationship in factor investing in emerging markets. Quarterly Review of Economics and Finance. 80, 210-223. Link
Tomtosov, A. and Babkin, A. Opportunities Approach to Define Luck versus Skill
Tomtosov, A. Price Location and the Cross-Section of Stocks Returns. Not yet Another Factor
Tomtosov, A. Do Foreign Investors Decrease Predictability of Emerging Markets?