Momentum and crash sensitivity

Stefan Ruenzi and Florian Weigert

This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum strategy return on the return of a self-financing portfolio going long (short) in stocks with high (low) crash sensitivity in the USA from 1963 to 2012 reduces the momentum effect from a highly statistically significant 11.94% to an insignificant 1.84%. We find additional supportive out-of sample evidence for our risk-based momentum explanation in a sample of 23 international equity markets

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Year of publication:	December 2017 ; This version: December 2017
Authors:	Ruenzi, Stefan ; Weigert, Florian
Publisher:	St. Gallen : School of Finance, University of St. Gallen
Subject:	Asset pricing \| asymmetric dependence \| copulas \| crash sensitivity \| momentum \| tail risk \| Multivariate Verteilung \| Multivariate distribution \| Finanzkrise \| Financial crisis \| Portfolio-Management \| Portfolio selection \| Kapitaleinkommen \| Capital income \| Börsenkurs \| Share price \| Risikomaß \| Risk measure \| Anlageverhalten \| Behavioural finance \| Momentenmethode \| Method of moments \| Statistische Verteilung \| Statistical distribution \| Theorie \| Theory \| Risikomanagement \| Risk management

Extent:	1 Online-Ressource (circa 13 Seiten)
Series:	Working papers on finance. - Sankt Gallen : [Verlag nicht ermittelbar], ZDB-ID 2252526-9. - Vol. no. 2018, 1
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.3092546 [DOI]
Classification:	C12 - Hypothesis Testing ; G01 - Financial Crises ; G11 - Portfolio Choice ; G12 - Asset Pricing ; G17 - Financial Forecasting
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011906204