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Momentum and Crash Sensitivity

Series
School of Finance Working Paper Series
Type
working paper
Date Issued
2017-12-15
Author(s)
Ruenzi, Stefan
Weigert, Florian  
Abstract (De)
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.
Language
English
Keywords
Asset pricing
asymmetric dependence
copulas
crash sensitivity
momentum
tail risk
HSG Classification
contribution to scientific community
Publisher
SoF-HSG
Publisher place
St. Gallen
Volume
2018/01
Number
01
Pages
12
Official URL
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3092546
URL
https://www.alexandria.unisg.ch/handle/20.500.14171/101698
Subject(s)

finance

Division(s)

s/bf - Swiss Institut...

SoF - School of Finan...

Eprints ID
253303
File(s)
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open.access

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Q__SOF_WP_Papers_18_01_Weigert et al_Momentum and Crash Sensitivity.pdf

Size

292.37 KB

Format

Adobe PDF

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