| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5059279 | Economics Letters | 2014 | 4 Pages |
Abstract
This paper investigates the profitability of momentum-based trading strategies pursued during the most recent economic downturns in global equity markets. In contrast to previous studies, it reveals that such strategies generated statistically significant negative returns during the most recent recessions. These “momentum crashes” happen during market reversals following exceptionally large market declines, as occurred in March and April 2009.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Klaus Grobys,