Risk-managed industry momentum and momentum crashes

Klaus Grobys, Joni Ruotsalainen and Janne Äijö

Quantitative Finance, 2018, vol. 18, issue 10, 1715-1733

Abstract: This paper investigates Barroso and Santa-Clara’s [J. Financ. Econ., 2008, 116, 111–120] risk-managed momentum strategy in an industry momentum setting. We investigate several traditional momentum strategies including that recently proposed by Novy-Marx [J. Financ. Econ., 2012, 103, 429–453]. We moreover examine the impact of different variance forecast horizons on average pay-offs and also Daniel and Moskowitz’s [J. Financ. Econ., 2016, 122, 221–247] optionality effects. Our results show in general that neither plain industry momentum strategies nor the risk-managed industry momentum strategies are subject to optionality effects, implying that these strategies have no time-varying beta. Moreover, the benefits of risk management are robust across volatility estimators, momentum strategies and subsamples. Finally, the ‘echo effect’ in industries is not robust in subsamples as the strategy works only during the most recent subsample.

Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://hdl.handle.net/10.1080/14697688.2017.1420211 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:18:y:2018:i:10:p:1715-1733

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RQUF20

DOI: 10.1080/14697688.2017.1420211

Access Statistics for this article

Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral

More articles in Quantitative Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().