| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7349097 | Economics Letters | 2018 | 14 Pages |
Abstract
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Stefan Ruenzi, Florian Weigert,