Uncovering Momentum

20 Pages Posted: 18 Dec 2019 Last revised: 21 Feb 2023

See all articles by Yulia Malitskaia

Yulia Malitskaia

VKY Analytics, LLC; Université Toulouse I Capitole; Toulouse Business School Research Centre

Date Written: December 17, 2020

Abstract

The explanation of the momentum premium represents an ongoing challenge, triggering the development of multiple risk-based and behavioral models. The paper addresses this puzzle following a systematic divide-and-conquer approach composed from a sequence of top-down steps: dissecting the momentum performance along bull/bear states and winners/losers deciles; identifying the unscaled momentum decile as a basic common block across conventional, time-series and dual momentum strategies; dividing momentum decile into portfolios based on fundamental and technical characteristics, and applying the rolling event-oriented intertemporal analysis. The results transparently and completely explain the momentum premium for 2010-2019 as the sampling of high volatility growth stocks.

Keywords: Momentum premium, top-down approach, event-oriented intertemporal analysis, volatility, fundamental characteristics

JEL Classification: G12, C21, C22

Suggested Citation

Malitskaia, Yulia, Uncovering Momentum (December 17, 2020). Available at SSRN: https://ssrn.com/abstract=3502301 or http://dx.doi.org/10.2139/ssrn.3502301

Yulia Malitskaia (Contact Author)

VKY Analytics, LLC ( email )

P.O. Box 5482
New York, NY 10185
United States

Université Toulouse I Capitole

2 Rue du Doyen Gabriel Marty
Toulouse, 31000
France

Toulouse Business School Research Centre

1 Place Alphonse Jourdain
Toulouse, 31000
France

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