Recent literature shows that momentum strategies exhibit significant downside risks over certain periods, called “momentum crashes”. We find that high uncertainty of momentum strategy returns is sourced from the cross-sectional volatility of individual stocks. Stocks with high realised...

Recent literature shows that momentum strategies exhibit significant downside risks over certain periods, or called "momentum crashes." We find that the high uncertainty of momentum strategies is sourced from the cross-sectional volatility of individual stocks. Stocks with high realised...

This study comprehensively evaluates and ranks a large number of competing explanations for the momentum anomaly. As a benchmark for evaluation, firm fundamentals are found to be the most promising among well-known explanations of momentum, followed by prospect theory and mental accounting, and...