Momentum Has Its Own Values

Hongwei Chuang ()
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Hongwei Chuang: IUJ Research Institute, International University of Japan

No EMS_2021_02, Working Papers from Research Institute, International University of Japan

Abstract: We find high momentum stocks with preserving substantial "fundamental value" are more likely to rebound after unexpected financial shocks. The portfolio test show that our proposed investment strategy can inherit more portfolio downside risk, especially the momentum crash during turbulent times.

Keywords: Momentum; Financial Crisis; Fama-French Factors; Systemic Risk (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2021-02
New Economics Papers: this item is included in nep-cwa, nep-fmk and nep-rmg
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