Momentum and crash sensitivity

Ruenzi, Stefan ; Weigert, Florian

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.

Dieser Eintrag ist Teil der Universitätsbibliographie.

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