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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
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The granular nature of large institutional investors
Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - In: Management science : journal of the Institute for … 67 (2021) 11, pp. 6629-6659
Persistent link: https://www.econbiz.de/10012703696
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Isolating momentum crashes
Dierkes, Maik; Krupski, Jan - In: Journal of empirical finance 66 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013370567
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Mechanisms of overpricing : An investigation on momentum crashes
Huang, Alex - In: International review of economics & finance : IREF 89 (2024) 1, pp. 118-142
Persistent link: https://www.econbiz.de/10014446417
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Momentum crashes and the 52-week high
Byun, Suk Joon; Jeon, Byounghyun - In: Financial analysts journal : FAJ 79 (2023) 2, pp. 120-139
Persistent link: https://www.econbiz.de/10014291965
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High-frequency trading : review of the literature and regulatory initiatives around the world
Chung, Kee H.; Lee, Albert J. - In: Asia-Pacific journal of financial studies 45 (2016) 1, pp. 7-33
Persistent link: https://www.econbiz.de/10011483634
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The idiosyncratic momentum anomaly
Blitz, David; Hanauer, Matthias; Vidojevic, Milan - In: International review of economics & finance : IREF 69 (2020), pp. 932-957
Persistent link: https://www.econbiz.de/10012487461
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Momentum crashes
Daniel, Kent; Moskowitz, Tobias J. - 2013
occur in what we term “panic” states – following market declines and when market volatility is high, and are contemporaneous … momentum strategy. Further, we show that momentum returns in panic states are correlated with, but not explained by, volatility …
Persistent link: https://www.econbiz.de/10010257503
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Momentum crashes
Daniel, Kent; Moskowitz, Tobias J. - 2014
Persistent link: https://www.econbiz.de/10010413176
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Momentum Crashes
Daniel, Kent D. - 2011
market declines, when market volatility is high, and contemporaneous with market \rebounds." The low ex-ante expected returns …
Persistent link: https://www.econbiz.de/10013121260