We investigate the predictive power of market volatility for momentum. We find that (1) market volatility has significant power to forecast momentum payoffs, which is robust after controlling for market state and business cycle variables; (2) market volatility absorbs much of the predictive...

This paper investigates time-series predictability of momentum. Taking a hint from the drastic 2008-2009 episode, we examine whether market volatility is linked to momentum. We find that market volatility indeed has significant and robust predictive power for momentum profits, especially in...

Despite the extensive literature on cross-sectional aspects of momentum, time-variation in momentum profitability receives little attention. We present a comprehensive examination of the time-series predictability of momentum profits. We uncover a list of intriguing features of time-variation in...