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 …

" states - following market declines and when market volatility is high - and are contemporaneous with market rebounds. We show … option-like payoffs of past losers. An implementable dynamic momentum strategy based on forecasts of momentum's mean and … variance approximately doubles the alpha and Sharpe Ratio of a static momentum strategy, and is not explained by other factors …