Momentum and Crash Sensitivity

Item Type Monograph (Working Paper)
Abstract

This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum strategy return on the return of a self-financing portfolio going long (short) in stocks with high (low) crash sensitivity in the USA from 1963 to 2012 reduces the momentum effect from a highly statistically significant 11.94% to an insignificant 1.84%. We find additional supportive out-of sample evidence for our risk-based momentum explanation in a sample of 23 international equity markets.

Authors Ruenzi, Stefan & Weigert, Florian
Language English
Keywords Asset pricing, asymmetric dependence, copulas, crash sensitivity, momentum, tail risk
Subjects finance
Institute/School s/bf - Swiss Institute of Banking and Finance
HSG Classification contribution to scientific community
Date 15 December 2017
Publisher SoF-HSG
Place of Publication St. Gallen
Series Name School of Finance Working Paper Series
Volume 2018/01
Number 01
Number of Pages 12
Official URL https://papers.ssrn.com/sol3/papers.cfm?abstract_i...
Depositing User Geraldine Frei-Böbel
Date Deposited 15 Jan 2018 10:48
Last Modified 15 Jan 2018 10:48
URI: https://www.alexandria.unisg.ch/publications/253303

Download

[img]
Preview
Text
Q__SOF_WP_Papers_18_01_Weigert et al_Momentum and Crash Sensitivity.pdf

Download (299kB) | Preview

Citation

Ruenzi, Stefan & Weigert, Florian: Momentum and Crash Sensitivity. School of Finance Working Paper Series, 2017, 01.

Statistics

https://www.alexandria.unisg.ch/id/eprint/253303
Edit item Edit item
Feedback?