Are momentum crashes pervasive regardless of strategy? Evidence from the foreign exchange market

Klaus Grobys and Jesper Haga

Applied Economics Letters, 2017, vol. 24, issue 20, 1499-1503

Abstract: This article studies the option-like behaviour of popular momentum strategies implemented in foreign exchange markets. The results confirm recent research findings of strong option-like behaviour for momenutm measures, based on the cumulative return from 12 and 6 months prior to the formation date Surprisingly, there is no such evidence for the popular momentum strategy accounting for a 1-month formation period.

Date: 2017
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DOI: 10.1080/13504851.2017.1287852

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