Momentum and crash sensitivity

Stefan Ruenzi and Florian Weigert

Economics Letters, 2018, vol. 165, issue C, 77-81

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.

Keywords: Asset pricing; Copulas; Crash sensitivity; Momentum; Tail risk (search for similar items in EconPapers)
JEL-codes: C12 G01 G11 G12 G17 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:165:y:2018:i:c:p:77-81

DOI: 10.1016/j.econlet.2018.01.031

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