Risk-managed 52-week high industry momentum, momentum crashes and hedging macroeconomic risk

DOI10.1080/14697688.2017.1414300MaRDI QIDQ4554492zbMATH OpenOpenAlexFDO

Authors Klaus Grobys

Publication date 14 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2017.1414300

zbMATH Keywords

52-week high industry momentumasset pricingindustry momentummomentum crashoptionality effect

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Common risk factors in the returns on stocks and bonds

Cited in

(3)

• Momentum and the cross-section of stock volatility
• A look under the hood of momentum funds
• Risk-managed industry momentum and momentum crashes

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