Momentum crashes

Kent Daniel, Tobias J. Moskowitz · 2016 · Journal of Financial Economics

IntermediateLFTEmpiricalFree to read

Momentum crashes in panic rebounds after market falls. A dynamically scaled momentum strategy roughly doubles the Sharpe ratio.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: LFT
Data needed: Daily bars Set what data you have
Themes: Factors & momentum Risk & portfolio
Assets: Equities
Market: US

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Cite

@article{daniel2016momentum,
  author = {Daniel, Kent and Moskowitz, Tobias J.},
  title = {{Momentum crashes}},
  journal = {Journal of Financial Economics},
  year = {2016},
  doi = {10.1016/j.jfineco.2015.12.002}
}

Daniel, K., & Moskowitz, T. J. (2016). Momentum crashes. Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2015.12.002