Momentum and Crash Sensitivity
Series
School of Finance Working Paper Series
Type
working paper
Date Issued
2017-12-15
Author(s)
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
Subject(s)
Eprints ID
253303
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Name
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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