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- W3124349199 abstract "High momentum returns cannot be explained by risk factors, but they are negatively skewed and subject to occasional severe crashes. I explore the timing of momentum crashes and show that momentum strategies tend to crash in 1-3 months after the local stock market plunge. Next, I propose a simple dynamic trading strategy which coincides with the standard momentum strategy in calm times, but switches to the opposite contrarian strategy after a market crash and keeps the contrarian position for three months, after which it reverts back to the momentum position. The dynamic momentum strategy turns all major momentum crashes into gains and yields an average return, which is about 1.5 times as high as the standard momentum return. The dynamic momentum returns are positively skewed and not exposed to risk factors, have high Sharpe ratio and alpha, persist in different time periods and geographical markets around the globe." @default.
- W3124349199 created "2021-02-01" @default.
- W3124349199 creator A5068917270 @default.
- W3124349199 date "2019-01-01" @default.
- W3124349199 modified "2023-09-27" @default.
- W3124349199 title "AVOIDING MOMENTUM CRASHES: DYNAMIC MOMENTUM AND CONTRARIAN TRADING" @default.
- W3124349199 doi "https://doi.org/10.20472/iac.2019.052.017" @default.
- W3124349199 hasPublicationYear "2019" @default.
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