We suggest a risk-based explanation of the momentum anomaly. Controlling for the exposure to systematic crash risk reduces the momentum effect from a significant 11.94% p.a. to an insignificant 1.84% p.a. Similar results are obtained in a broad sample of international equity markets
Risk-adjusted momentum returns are usually estimated by sorting stocks into a regularly rebalanced l...
Risk-adjusted momentum returns are usually estimated by constructing momentum portfolios and then ru...
Risk-adjusted momentum returns are usually estimated by constructing momentum portfolios and then ru...
We suggest a risk-based explanation of the momentum anomaly. Controlling for the exposure to systema...
We suggest a risk-based explanation of the momentum anomaly. Controlling for the exposure to systema...
We suggest a risk-based explanation of the momentum anomaly. Controlling for the exposure to systema...
We suggest a risk-based explanation of the momentum anomaly. Controlling for the exposure to systema...
We suggest a risk-based explanation of the momentum anomaly. Controlling for the exposure to systema...
We suggest a risk-based explanation of the momentum anomaly. Controlling for the exposure to systema...
We suggest a risk-based explanation of the momentum anomaly. Controlling for the exposure to systema...
We suggest a risk-based explanation of the momentum anomaly. Controlling for the exposure to systema...
We suggest a risk-based explanation of the momentum anomaly. Controlling for the exposure to systema...
AbstractDespite their strong positive average returns across numerous asset classes, momentum strate...
Risk-adjusted momentum returns are usually estimated by sorting stocks into a regularly rebalanced l...
Risk-adjusted momentum returns are usually estimated by sorting stocks into a regularly rebalanced l...
Risk-adjusted momentum returns are usually estimated by sorting stocks into a regularly rebalanced l...
Risk-adjusted momentum returns are usually estimated by constructing momentum portfolios and then ru...
Risk-adjusted momentum returns are usually estimated by constructing momentum portfolios and then ru...
We suggest a risk-based explanation of the momentum anomaly. Controlling for the exposure to systema...
We suggest a risk-based explanation of the momentum anomaly. Controlling for the exposure to systema...
We suggest a risk-based explanation of the momentum anomaly. Controlling for the exposure to systema...
We suggest a risk-based explanation of the momentum anomaly. Controlling for the exposure to systema...
We suggest a risk-based explanation of the momentum anomaly. Controlling for the exposure to systema...
We suggest a risk-based explanation of the momentum anomaly. Controlling for the exposure to systema...
We suggest a risk-based explanation of the momentum anomaly. Controlling for the exposure to systema...
We suggest a risk-based explanation of the momentum anomaly. Controlling for the exposure to systema...
We suggest a risk-based explanation of the momentum anomaly. Controlling for the exposure to systema...
AbstractDespite their strong positive average returns across numerous asset classes, momentum strate...
Risk-adjusted momentum returns are usually estimated by sorting stocks into a regularly rebalanced l...
Risk-adjusted momentum returns are usually estimated by sorting stocks into a regularly rebalanced l...
Risk-adjusted momentum returns are usually estimated by sorting stocks into a regularly rebalanced l...
Risk-adjusted momentum returns are usually estimated by constructing momentum portfolios and then ru...
Risk-adjusted momentum returns are usually estimated by constructing momentum portfolios and then ru...
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