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Quantitative Finance Volume 18, 2018 - Issue 10
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Research Papers

Risk-managed industry momentum and momentum crashes

Klaus GrobysDepartment of Accounting and Finance, University of Vaasa, Wolffintie 34, 65200Vaasa, FinlandCorrespondence[email protected] [email protected]
,
Joni RuotsalainenRedLynx, Kumpulantie 3, 00520Helsinki, Finland
&
Janne ÄijöDepartment of Accounting and Finance, University of Vaasa, Wolffintie 34, 65200Vaasa, Finland
Pages 1715-1733 | Received 05 Sep 2017, Accepted 08 Dec 2017, Published online: 19 Feb 2018

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Xiaoshi Guo & Sarah M. Ryan. (2023) Avoiding momentum crashes using stochastic mean-CVaR optimization with time-varying risk aversion. The Engineering Economist 68:3, pages 125-152.
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Suk-Joon Byun & Byounghyun Jeon. (2023) Momentum Crashes and the 52-Week High. Financial Analysts Journal 79:2, pages 120-139.
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Haijun Yang & Wei Xia. (2020) Private Information Transmission, Momentum and Reversal. Journal of Behavioral Finance 21:3, pages 311-322.
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