6533b7d5fe1ef96bd126457c
RESEARCH PRODUCT
Risk-Managed Industry Momentum and Momentum Crashes
Joni RuotsalainenKlaus GrobysKlaus GrobysJanne ÄIjösubject
Momentum (technical analysis)Financial economicsTime windowsEconomicsCapital asset pricing modelVariance (accounting)description
This is the first paper that investigates Barosso and Santa-Clara’s (2015) risk-managed momentum strategy in an industry momentum setting. We investigate traditional momentum strategies and Novy-Marx (2012) strategy. We also explore the impact of different variance forecast horizons on the average payoffs. We find that risk-managed industry momentum payoffs generate considerably higher returns than plain momentum strategies. Notably, risk-managed payoffs increase linearly as the time window for variance forecasts are contracted which is consistent for all different strategies.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2016-01-01 | SSRN Electronic Journal |