Abstract

http://ssrn.com/abstract=2041429
 
 

References (21)



 
 

Citations (3)



 


 



Momentum Has Its Moments


Pedro Barroso


UNSW Australia Business School, School of Banking and Finance

Pedro Santa-Clara


New University of Lisbon - Nova School of Business and Economics; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)

November 2014

Journal of Financial Economics (JFE), Forthcoming

Abstract:     
Compared with the market, value, or size factors, momentum has offered investors the highest Sharpe ratio. However, momentum has also had the worst crashes, making the strategy unappealing to investors who dislike negative skewness and kurtosis. We find that the risk of momentum is highly variable over time and predictable. Managing this risk virtually eliminates crashes and nearly doubles the Sharpe ratio of the momentum strategy. Risk-managed momentum is a much greater puzzle than the original version.

Number of Pages in PDF File: 39

Keywords: Stock momentum, risk management, anomalies

JEL Classification: G11, G12, G14, G17

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Date posted: April 18, 2012 ; Last revised: December 10, 2014

Suggested Citation

Barroso, Pedro and Santa-Clara, Pedro, Momentum Has Its Moments (November 2014). Journal of Financial Economics (JFE), Forthcoming. Available at SSRN: http://ssrn.com/abstract=2041429 or http://dx.doi.org/10.2139/ssrn.2041429

Contact Information

Pedro Barroso (Contact Author)
UNSW Australia Business School, School of Banking and Finance ( email )
Sydney, NSW 2052
Australia

Pedro Santa-Clara
New University of Lisbon - Nova School of Business and Economics ( email )
Lisbon
Portugal
HOME PAGE: http://docentes.fe.unl.pt/~psc/
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Centre for Economic Policy Research (CEPR) ( email )
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
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