in the data, and has an economic interpretation of coherently combining reversal and momentum patterns in the returns …We construct a momentum factor that identifies cross-sectional winners and losers based on a weighting scheme that …. Our extensive out-of-sample analysis shows that the new fractional momentum strategy not only achieves significantly …

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 …

Despite momentum's strong historical performance, its returns have large negative skewness and occasionally experiences … persistent strings of sharp negative returns, referred as "momentum crashes" in the recent literature. I argue that momentum … institutional ownership data together to measure the "crowdedness" of momentum, I show that momentum crashes can be avoided in the …