6533b82afe1ef96bd128c021
RESEARCH PRODUCT
Another Look at Momentum Crashes
Klaus GrobysKlaus Grobyssubject
Market integrationComputer Science::Computer Science and Game TheoryMomentum (finance)Financial economicsFinancial crisisEconomicsProfitability indexEuropean monetary unionEuropean debt crisisdescription
This paper studies the profitability of a selection of prominent momentum-based strategies in the European Monetary Union. In contrast to past examples documenting the lack of profitability of unconditional price momentum in the most recent decade, the current research finds that unconditional price momentum yielded significant positive payoffs. There is evidence of option-like behavior for strategies based on intermediate past performance. Surprisingly, there is no such evidence for the momentum strategy based on recent past performance .
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2015-01-01 | SSRN Electronic Journal |