波动性(金融)
经济
下行风险
金融经济学
动量(技术分析)
库存(枪支)
计量经济学
衡平法
文件夹
工程类
政治学
机械工程
法学
作者
Minyou Fan,Fearghal Kearney,Youwei Li,Jiadong Liu
标识
DOI:10.1016/j.jedc.2022.104524
摘要
Recent literature shows that momentum strategies exhibit significant downside risks over certain periods, called “momentum crashes”. We find that high uncertainty of momentum strategy returns is sourced from the cross-sectional volatility of individual stocks. Stocks with high realised volatility over the formation period tend to lose momentum effect. We propose a new approach, generalised risk-adjusted momentum (GRJMOM), to mitigate the negative impact of high momentum-specific risks. GRJMOM is proven to be more profitable and less risky than existing momentum ranking approaches across multiple asset classes, including the UK stock, commodity, global equity index, and fixed income markets.
科研通智能强力驱动
Strongly Powered by AbleSci AI