6533b7dafe1ef96bd126f54d
RESEARCH PRODUCT
Are Momentum Crashes Pervasive Regardless of Strategy? Evidence from the Foreign Exchange Market
Jesper HagaKlaus GrobysKlaus Grobyssubject
Momentum (finance)Financial economicsVariable pricingEconomicsCapital asset pricing modelForeign exchangeForeign exchange marketdescription
This paper studies the option-like behavior of popular momentum strategies implemented in foreign exchange markets. The results confirm those of Daniel and Moskowitz (2013) in finding strong option-like behavior for both momentum measures, based on the cumulative return from 12 and 6 months prior to the formation date to one month prior to the formation date. Surprisingly, there is no such evidence for the popular momentum strategy accounting for a one-month formation period.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2016-01-01 | SSRN Electronic Journal |