. Our extensive out-of-sample analysis shows that the new fractional momentum strategy not only achieves significantly …

In this paper, we propose a stop-loss strategy to limit the downside risk of the well-known momentum strategy. At a …

momentum strategy. Further, we show that momentum returns in panic states are correlated with, but not explained by, volatility … occur in what we term “panic” states – following market declines and when market volatility is high, and are contemporaneous … premium attached to the option-like payoffs of past losers. An implementable dynamic momentum strategy based on forecasts of …

market declines, when market volatility is high, and contemporaneous with market \rebounds." The low ex-ante expected returns …