We test the hypothesis that low visibility shocks to text-based network industry peers can explain industry momentum … common SIC codes. Shocks to less visible peers generate economically large momentum profits, and are stronger than own …-firm momentum variables. More visible traditional SIC-based peers generate only small, short-lived momentum profits. Our findings …

assets. To illustrate the method we use it to evaluate the size, value and momentum anomalies …

than the original factors and contain all the information found in the original factors. Momentum strategies profit from …-series efficient factors, such as an efficient Fama-French five-factor model, therefore prices momentum …

excess of the traditional two factors, i.e. the returns from static-slope strategy and daily momentum. Thus, its return … includes orthogonal information or excess return that standard static-slope and momentum strategies cannot explain. This …

Compared with the market, value, or size factors, momentum has offered investors the highest Sharpe ratio. However …, momentum has also had the worst crashes, making the strategy unappealing to investors who dislike negative skewness and … kurtosis. We find that the risk of momentum is highly variable over time and predictable. Managing this risk virtually …

returns results in elevated momentum profits. We show that such strategies enhance momentum profits simply by trading in … stocks with more extreme past returns. Adjusted for this effect, elevated momentum profits resulting from characteristics … (size, R², turnover, age, analyst coverage, analyst forecast dispersion, market-to-book, price, illiquidity, credit rating …

prices, and trading volume. Diminishing sensitivity predicts a disposition effect, price momentum, a reduced return …, the momentum effect, and the equity premium puzzle. Our model is helpful for understanding a wide range of financial …

Purpose - The present research aims to examine a range of momentum trading strategies for the tourism and hospitality … that none of these momentum investing strategies was profitable. Most of the results, however, show positive, but … insignificant momentum returns. This finding can be interpreted as price reversal over a horizon of three to twelve months in the US …

, alternative premiums for the size, book-to-market and momentum risk fundamentals. We compare these three risk premiums to the Fama …

the asset-class level; simultaneously buy and sell similar assets; and follow momentum strategies when trading. Although …