Machine learning techniques have gained enormously in popularity in recent years, but so far only to a very limited extent in fixed income research. In this paper we therefore like to do some pioneering work and apply Boosted Regression Trees to Equity Momentum in the corporate bond market. We...

High momentum returns cannot be explained by risk factors, but they are negatively skewed and subject to occasional severe crashes. I explore the timing of momentum crashes and show that momentum strategies tend to crash in 1-3 months after the local stock market plunge. Next, I propose a simple...

We show that stock prices underreact when there is a political event, reflected in higher momentum returns. We conjecture that political news crowds out stock news cause investors to distract, trade more indexes and underreact to firm specific news. We analyze momentum returns following general...

We demonstrate that firm-specific momentum profits are predictable across a wide range of international equity markets when combining information given in a multitude of stock characteristics. This predictor is comparatively simple to compute and can yield significant positive out-of-sample...

Investing in financial securities inevitably involves risks on the one hand and opportunities on the other hand. This thesis bundles four different studies on risks and/or opportunities in financial markets. In one study, we examine the cross-sectional explanatory power of different...

This paper investigates Barosso and Santa-Clara's (2015) risk-managed momentum strategy in an industry momentum setting. We investigate several traditional momentum strategies including that recently proposed by Novy-Marx (2012). We moreover examine the impact of different variance forecast...

Extending price momentum tests to the longest available histories of global financial assets, including country equities, government bonds, currencies, commodities, sectors and U.S. stocks, we create a 215-year history of cross-sectional multi-asset momentum, and confirm the significance of the...

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...

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...

We examine the effectiveness of applying a trend following methodology to global asset allocation between equities, bonds, commodities and real estate. The application of trend following offers a substantial improvement in risk-adjusted performance compared to traditional buy-and-hold...