Momentum and crash sensitivity

DOI:	https://doi.org/10.2139/ssrn.3092546
URL:	https://papers.ssrn.com/sol3/papers.cfm?abstract_i...
Document Type:	Working paper
Year of publication:	2018
The title of a journal, publication series:	University of St.Gallen, School of Finance Research Paper
Volume:	2018/1
Place of publication:	St. Gallen
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.