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Momentum Crash, Credit Risk and Optionality Effects in Bear Markets and Crisis Periods : Evidence from the US Stock Market

Grobys, Klaus - 2016

This study explores whether the credit risk anomaly exhibits option-like behavior similar to the momentum anomaly. Employing a market-timing regression model as in Daniel and Moskowitz (2013), it finds that the inverted credit risk spread indeed displays option-like behavior in bear market...

Persistent link: https://www.econbiz.de/10012996318

Crowded Trades, Short Covering, and Momentum Crashes

Yan, Philip - 2014

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 crashes are due to crowded trades which push prices...

Persistent link: https://www.econbiz.de/10013057742

Financial Stress and Asset Prices

Zong, Xiaoyu; He, Xuezhong - 2021

volatility and shocks the cross-section of stock returns. Due to agent's asymmetric aversion, financial stress affords positive …

Persistent link: https://www.econbiz.de/10013235055

Momentum Crashes and Variations to Market Liquidity

Butt, Hilal Anwar - 2019

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent of other known explanations surfaced on this topic. This relationship is driven by the asymmetric large return sensitivity of short-leg of momentum portfolio to changes in...

Persistent link: https://www.econbiz.de/10012895183

The nexus between analyst forecast dispersion and expected returns surrounding stock market crashes

Chong, Terence Tai-Leung; Wang, Xiaolei - In: Journal of risk and financial management : JRFM 2 (2009) 1, pp. 75-93

The performance of analysts’ forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashes in any depth. This paper attempts to fill...

Persistent link: https://www.econbiz.de/10011556115

Volatility Skew, Earnings Announcements, and the Predictability of Crashes

Van Buskirk, Andrew - 2011

This paper examines the relation between firm-level implied volatility skew and the likelihood of extreme negative … events, or crash risk. I show that volatility skew identifies which firms are likely to experience crashes, but only in short …-window earnings announcement periods. The predictive power is incremental to the information in historical volatility, financial …

Persistent link: https://www.econbiz.de/10013131489

Momentum Crash Management

Heidari, Mahdi - 2015

Momentum is one of the largest and most pervasive market anomalies. However, despite a high mean and Sharpe ratio, momentum suffers from large negative skewness that comes from momentum crash periods. These crashes occur in times of both market stress and market rebound and thus variables that...

Persistent link: https://www.econbiz.de/10013026403

Another Look at Momentum Crashes : Momentum in the European Monetary Union

Grobys, Klaus - 2015

This paper studies the profitability of a selection of prominent momentum-based strategies in the European Monetary Union. In contrast to past examples documenting the lack of profitability of unconditional price momentum in the most recent decade, the current research finds that unconditional...

Persistent link: https://www.econbiz.de/10013028257

Risk-Managed Industry Momentum and Momentum Crashes

Grobys, Klaus - 2017

benefits of risk management are robust across volatility estimators, momentum strategies and subsamples. Finally, the “echo …

Persistent link: https://www.econbiz.de/10012968047

Political uncertainty-managed portfolios

Lehnert, Thorsten - 2025

Forward-looking metrics of uncertainty based on options-implied information should be highly predictive of equity market returns in accordance with asset pricing theory. Empirically, however, the ability of the VIX, for example, to predict returns is statistically weak. In contrast to other...

Persistent link: https://www.econbiz.de/10015358904