Across numerous asset classes, momentum strategies have historically generated high Sharpe ratios and strong positive … alphas relative to standard asset pricing models. However, the returns to momentum strategies are negatively skewed: they … experience infrequent but strong and persistent strings of negative returns. These momentum crashes are partly forecastable. They …

Momentum strategies have produced high returns and Sharpe ratios, and strong positive alphas relative to market models … and other standard factors models. However, the returns to momentum strategies are highly skewed; they experience … infrequent but strong and persistent strings of negative returns. These momentum \crashes" are forecastable: they occur following …

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent … sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in … panic states. This identification explains the forecasting ability of known predictors of tail risk of momentum strategy …