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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

Investing in Crises

Baron, Matthew; Laeven, Luc; Pénasse, Julien; Usenko, … - 2021

We investigate asset returns around banking crises in 44 advanced and emerging economies from 1960 to 2016. In contrast to the view that buying assets during banking crises is a profitable long-run strategy, we find that returns of equity and other asset classes often underperform following...

Persistent link: https://www.econbiz.de/10013242872

When the Panic Broke Out : Covid-19 and Investment Funds' Portfolio Rebalancing Around the World

Affinito, Massimiliano; Santioni, Raffaele - 2021

To contribute to the understanding of investment funds' (IFs) behaviour, the paper exploits the exogenous shock of the COVID-19 pandemic and analyses more than 12 million security sales and purchases during the first four months of 2020 by over 20,000 IFs from more than 40 national jurisdictions...

Persistent link: https://www.econbiz.de/10013217674

International Diversification During Financial Crises

Tai, Chu-Sheng - 2019

between domestic and world stock market returns since the gains also depend on the unsystematic risk from the domestic stock …

Persistent link: https://www.econbiz.de/10012862601

Does foreign portfolio investment moderate the impact of exchange rate volatility and investor sentiment on country index crash risk?

Kustina, Lisa; Sudarsono, Rachmat; Effendi, Nury - In: Cogent economics & finance 12 (2024) 1, pp. 1-16

This study evaluates the relationship investor sentiment, exchange rate volatility, net foreign portfolio investment … Volatility on the country index crash risk. …

Persistent link: https://www.econbiz.de/10015394264

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

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

Taming Momentum Crashes

Bianchi, Daniele; De Polis, Andrea; Petrella, Ivan - 2022

both conditional volatility and skewness. This has first order implications for managing risks associated with momentum … investing: an adjusted momentum portfolio which hedges in real time for both volatility and skewness risk outperforms benchmark … constant and dynamic volatility-managed momentum strategies. This result holds for different levels of transaction costs and …

Persistent link: https://www.econbiz.de/10013403316

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

Essays on monetary policy, safe assets, and the repo market

Bechtel, Alexander - 2021

Persistent link: https://www.econbiz.de/10012647998