, including the market, size, and momentum factor …

momentum, price spirals, excess volatility, and investigate the potential feedback effects of delta-hedging in derivative … intraday momentum/reversal and market fragility. This link is distinct from information frictions (adverse selection and …-day momentum (reversal) is explained by the interaction of negative (positive) aggregate gamma imbalance and market illiquidity …

This paper investigates a link between the most popular currency strategies (carry trade, momentum, value) and … sovereign ratings. I document that the profitability of the momentum strategy is large and significant among higher credit risk … currencies, but is nonexistent among lower credit risk currencies. The profitability of currency momentum disappears when …

This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum … 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 …