In this paper, we propose a stop-loss strategy to limit the downside risk of the well-known momentum strategy. At a stop-level of 10%, we find, with data from January 1926 to December 2013, that the maximum monthly losses of the equal- and value-weighted momentum strategies go down from -49.79%...

On 9 October 2007, the Dow Jones Industrial Average reached a high of 14,164.53; by 9 March 2009, it had dropped about 54 percent, to a low of 6,547.05. Former Fed chairman Alan Greenspan called this a “once-in-a-century” crisis. The authors show that the probability of a stock market drop of...

In the recent financial crisis, the Dow Jones stock market index dropped about 54% from a high of 14164.53 on October 9, 2007 to a low of 6547.05 on March 9, 2009. Alan Greenspan calls this a 'once-in-a century' crisis. While we do not know how he drew his conclusion, we show that the...