Momentum and the cross-section of stock volatility

DOI10.1016/J.JEDC.2022.104524OpenAlexW4297180987MaRDI QIDQ2102873FDOQ2102873

Authors: Minyou Fan, Fearghal Kearney, Youwei Li, Jiadong Liu 

Publication date: 12 December 2022

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2022.104524

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zbMATH Keywords

volatility timingexcess volatilitycross-sectional momentumgeneralised risk-adjusted momentummomentum crashes

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Title not available (Why is that?)
• Common risk factors in the returns on stocks and bonds
• The Present-Value Relation: Tests Based on Implied Variance Bounds
• Title not available (Why is that?)
• Asset allocation with time series momentum and reversal
• Predicting stock price movements from past returns: the role of consistency and tax-loss selling
• Nonlinear effect of sentiment on momentum
• Optimal dynamic momentum strategies
• Adaptive expectations and commodity risk premiums
• Sources of momentum profits: evidence on the irrelevance of characteristics

Cited In (13)

• Sources of momentum profits: evidence on the irrelevance of characteristics
• How the weak variance of momentum can turn out to be negative
• Decomposing the momentum in the Japanese stock market
• Dynamical analysis of S\& P500 momentum
• The distribution of cross sectional momentum returns
• Risk-managed industry momentum and momentum crashes
• The momentum effect: omitted risk factors or investor behaviour? Evidence from the Spanish stock market
• Enhancing the momentum strategy through deep regression
• Physical approach to price momentum and its application to momentum strategy
• Asymmetric extreme tails and prospective utility of momentum returns
• Risk-managed 52-week high industry momentum, momentum crashes and hedging macroeconomic risk
• Broad-market return persistence and momentum profits
• Quantile momentum

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