Dong, Liang; Dai, Yiqing; Haque, Tariq H.; Kot, Hung Wan; … - 2022
The winner-minus-loser (WML) momentum strategy carries an inherent downside as its returns have negative coskewness. We propose a coskewness-volatility-managed momentum strategy that reduces the reversal risk of the baseline WML strategy by 61% and that of the volatility-managed momentum...