Risk-managed industry momentum and momentum crashes

Grobys, K; Ruotsalainen, J; Aijo, J

Grobys, K (reprint author), Univ Vaasa, Dept Accounting & Finance, Wolffintie 34, Vaasa 65200, Finland.

QUANTITATIVE FINANCE, 2018; 18 (10): 1715

Abstract

This paper investigates Barroso and Santa-Clara's [J. Financ. Econ., 2008, 116, 111-120] risk-managed momentum strategy in an industry momentum settin......

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