investment model succeeds in capturing average momentum profits, reversal of momentum in long horizons, as well as the … interaction of momentum with market capitalization, firm age, trading volume, and stock return volatility. However, the model … fails to reproduce procyclical momentum profits …

different seasonality strategies are modest, suggesting that they emanate from different common factors. Our results suggest …

Despite their strong positive average returns across numerous asset classes, momentum strategies can experience … infrequent and persistent strings of negative returns. These momentum crashes are partly forecastable. They occur in "panic … option-like payoffs of past losers. An implementable dynamic momentum strategy based on forecasts of momentum's mean and …

return over the past 140 years of one of the most popular mechanical trading strategies — momentum. We find that momentum has ….5 percent per month between 1867 and 1907 — both statistically significantly different from zero. However, the momentum strategy … also exposed investors to large losses (crashes) during both periods. Momentum crashes were predictable — more likely when …

The returns of short-term reversal strategies in equity markets can be interpreted as a proxy for the returns from … liquidity provision. Analysis of reversal strategies shows that the expected return from liquidity provision is strongly time … the VIX during times of financial market turmoil, such as the financial crisis 2007-09. Even reversal strategies formed …