Compared to the market, value or size factors, momentum has offered investors the highest Sharpe ratio. However, momentum has also had the worst crashes, making the strategy unappealing to investors with reasonable risk aversion. We fi聟nd that the risk of momentum is highly variable over time ...
Momentum has its moments$Pedro Barrosoa,n, Pedro Santa-Clarab,c,daUniversity of New South Wales, AustraliabNova School of Business ..
The paper ‘Momentum has its moments’ by Barroso and Santa-Clara (2015) discusses the volatility of momentum risk over time. In order to control for systematic risks, they introduce the constant volatility scaling approach to momentum strategy, scaling different instruments in the portfolio based o...
"Momentum has its moments." Journal of Financial Economics 116.1 (2015): 111-120. Blitz, David, Matthias X. Hanauer, and Milan Vidojevic. "The idiosyncratic momentum anomaly." International Review of Economics & Finance 69 (2020): 932-957. Cohen, Randolph B., Joshua D. Coval, and ...
Momentum has its moments. Journal of Financial Economics 116(1), 111 – 120. Blitz, D., J. Huij, and M. Martens (2011). Residual momentum. Journal of Empirical Finance 18(3), 506 – 521. Carhart, M. M. (1997). On persistence in mutual fund performance. Journal of Finance 52(1...
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Momentum has its moments J. Financ. Econ. (2015) K. Daniel et al. Momentum crashes J. Financ. Econ. (2016) E.F. Fama et al. A five-factor asset pricing model J. Financ. Econ. (2015) P. Klein The capital gains lock-in effect and equilibrium returns J. Public Econ. (1999) P....
Zhengzhou, which has a population of over ten million, had its first metro line put into operation in 2013. Despite the lack of first-mover advantage, Zhengzhou constructed a good quality fast metro infrastructure. According...