Compared with the market, value, or size factors, momentum has offered investors the highest Sharpe ratio. However …, momentum has also had the worst crashes, making the strategy unappealing to investors who dislike negative skewness and … kurtosis. We find that the risk of momentum is highly variable over time and predictable. Managing this risk virtually …

prices, and trading volume. Diminishing sensitivity predicts a disposition effect, price momentum, a reduced return …, the momentum effect, and the equity premium puzzle. Our model is helpful for understanding a wide range of financial …

Barberis and Shleifer (2003) argue that style investing generates momentum and reversals in style and individual asset … returns. We also use comovement to identify style investing and assess its impact on momentum. High comovement momentum … portfolios have significantly higher future returns than low comovement momentum portfolios. Overall, our results suggest that …

We examine the role of shorting, firm size, and time on the profitability of size, value, and momentum strategies. We … find that long positions make up almost all of size, 60% of value, and half of momentum profits. Shorting becomes less … important for momentum and more important for value as firm size decreases. The value premium decreases with firm size and is …

stock returns that, except for Japan, decrease with size. Except for Japan, there is return momentum everywhere, and spreads … in average momentum returns also decrease from smaller to bigger stocks. We test whether empirical asset pricing models … capture the value and momentum patterns in international average returns and whether asset pricing seems to be integrated …

Momentum is primarily driven by firms' performance 12 to seven months prior to portfolio formation, not by a tendency … liquid stocks. These facts are not particular to the momentum observed in the cross section of US equities. Similar results … hold for momentum strategies trading international equity indices, commodities, and currencies. …

incorporating realized betas into instrumental variables estimators is effective. Empirically, instrumentation reduces momentum … volatility-timing and overconditioning biases in momentum portfolios. …