Tail Risk in Momentum Strategy Returns
收藏NBER2012-06-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w18169
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资源简介：
Momentum strategies exhibit rare but dramatic losses (crashes), which we show are a result of the leverage dynamics of stocks in the momentum portfolio. When the economy is in a hidden turbulent state associated with a depressed and volatile stock market, the short-side of the momentum portfolio
提供机构：
美国国家经济研究局
创建时间：
2012-06-01
