کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
959454 929278 2015 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Momentum has its moments
ترجمه فارسی عنوان
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موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
چکیده انگلیسی

Compared with 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 who dislike negative skewness and kurtosis. We find that the risk of momentum is highly variable over time and predictable. Managing this risk virtually eliminates crashes and nearly doubles the Sharpe ratio of the momentum strategy. Risk-managed momentum is a much greater puzzle than the original version.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 116, Issue 1, April 2015, Pages 111–120
نویسندگان
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