"momentum crashes." We find that the high uncertainty of momentum strategies is sourced from the cross-sectional volatility of … individual stocks. Stocks with high realised volatility over the formation period tend to lose momentum effect, while stocks with … low realised volatility show strong momentum. A new approach, generalised risk-adjusted momentum (GRJMOM), is introduced …

fragmentation on two types of investors optimization problems: “intermediary” high-frequency and “final” investors. Volatility has a …, and indirectly via total volatility. A shock in fragmentation may lead to a decrease in trading volume, enhanced in the … case of an equity markets crisis by a rise in the components of volatility …