We provide empirical evidence that the returns on US equity momentum exhibit a time-varying skewness which deepens during dramatic losses (crashes). As a result, the dynamics of the strategy expected returns reflects the time variation in both conditional volatility and skewness. This has first...

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....

The recent financial crisis and historical record suggest important lessons about the design of national pension systems. First, wide fluctuation in asset returns makes it hard for well-informed savers to select a saving rate or a sensible investment strategy for DC pensions. Workers who follow...

This study explores whether the credit risk anomaly exhibits option-like behavior similar to the momentum anomaly. Employing a market-timing regression model as in Daniel and Moskowitz (2013), it finds that the inverted credit risk spread indeed displays option-like behavior in bear market...

The purpose of this paper is to document and summarize factor returns related to the decline in the stock market due to COVID-19 (“the Coronavirus Crash”). Factor spreads from January 1, 2020 through March 31, 2020 are multiples of historical spreads. For example, the Value-Growth spread...

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent of other known explanations surfaced on this topic. This relationship is driven by the asymmetric large return sensitivity of short-leg of momentum portfolio to changes in...

Momentum strategies suffer from occasional large drawdowns referred to as momentum crashes when the market rebounds. This paper documents that stocks far from peaks outperform stocks near peaks, and momentum crashes are attributable to such outperformance. Market rebounds triggers increase in...

Despite momentum's strong historical performance, its returns have large negative skewness and occasionally experiences persistent strings of sharp negative returns, referred as "momentum crashes" in the recent literature. I argue that momentum crashes are due to crowded trades which push prices...