Research Paper
Year: 2022 | Month: October | Volume: 9 | Issue: 10 | Pages: 471-475
DOI: https://doi.org/10.52403/ijrr.20221053
The Irrational Behaviour of Using Risk Control with Momentum Strategy During a Bullish Market Trend, an Example of Asymmetric Volatility Bias and Loss Aversion
Massimiliano di Toro
Ph.D. Swiss Management Center
ABSTRACT
The goal of the research is to investigate if the application of the risk control to the momentum strategy is a proof that the investor has asymmetric volatility bias that led a behavioural tendency to associate the volatility only as a risk factor, without consider potential upside effect of the volatility, the researcher as called this behaviour asymmetric volatility bias. The risk control apply to the momentum during a bullish market is an example of loss aversion and asymmetric volatility bias.
Keywords: momentum strategy, risk control, volatility, herd behavior, loss aversion, disposition effect, asymmetric volatility bias, irrational behaviour and recency bias.
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