Momentum and crash sensitivity

DOI:	https://doi.org/10.1016/j.econlet.2018.01.031
URL:	https://www.sciencedirect.com/science/article/pii/...
Document Type:	Article
Year of publication:	2018
The title of a journal, publication series:	Economics Letters
Volume:	165
Page range:	77-81
Place of publication:	Amsterdam [u.a.]
Publishing house:	Elsevier
ISSN:	0165-1765
Publication language:	English
Institution:	Business School > Internat. Finanzierung (Ruenzi 2009-)
Subject:	330 Economics
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.