Are Momentum Crashes Pervasive Regardless of Strategy? Evidence from the Foreign Exchange Market

Grobys, Klaus; Haga, Jesper

doi:10.2139/ssrn.2802627

Are Momentum Crashes Pervasive Regardless of Strategy? Evidence from the Foreign Exchange Market

10 Pages Posted: 2 Jul 2016

See all articles by Klaus Grobys

Klaus Grobys

University of Vaasa; University of Jyväskyla

Jesper Haga

Hanken School of Economics - Department of Finance and Statistics

Date Written: June 30, 2016

Abstract

This paper studies the option-like behavior of popular momentum strategies implemented in foreign exchange markets. The results confirm those of Daniel and Moskowitz (2013) in finding strong option-like behavior for both momentum measures, based on the cumulative return from 12 and 6 months prior to the formation date to one month prior to the formation date. Surprisingly, there is no such evidence for the popular momentum strategy accounting for a one-month formation period.

Keywords: asset pricing, international financial markets, momentum crash, foreign exchange markets, currency markets.

JEL Classification: G12, G14

Suggested Citation: Suggested Citation

Grobys, Klaus and Haga, Jesper, Are Momentum Crashes Pervasive Regardless of Strategy? Evidence from the Foreign Exchange Market (June 30, 2016). Available at SSRN: https://ssrn.com/abstract=2802627 or http://dx.doi.org/10.2139/ssrn.2802627