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 … institutional ownership data together to measure the "crowdedness" of momentum, I show that momentum crashes can be avoided in the …

momentum strategy. Further, we show that momentum returns in panic states are correlated with, but not explained by, volatility …Across numerous asset classes, momentum strategies have historically generated high Sharpe ratios and strong positive … alphas relative to standard asset pricing models. However, the returns to momentum strategies are negatively skewed: they …

Momentum strategies have produced high returns and Sharpe ratios, and strong positive alphas relative to market models … and other standard factors models. However, the returns to momentum strategies are highly skewed; they experience … infrequent but strong and persistent strings of negative returns. These momentum \crashes" are forecastable: they occur following …