Sources of Momentum Profits: Applications of Higher Momentum Moments

• Main Authors: Hu, Jui-Yu, 胡瑞友
• Other Authors: Huang, Yi-Hou
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/e8batx

碩士 === 國立交通大學 === 財務金融研究所 === 105 === Despite their significant abnormal returns, momentum strategies also have the worst crashes. Several recent studies focus on the dynamic weighting schemes based on their prediction of the timing of momentum crashes. In this paper, we show that idiosyncratic volatility, momentum strength, and firm characteristics are also related to momentum profits. When the strong correlation between idiosyncratic volatility, momentum strength, size, analyst coverage, and illiquidity becomes weaker, the losers and winners are going to rebound sooner. Applying the interactions between them can eliminate crashes and enhance the Sharpe ratio of momentum strategies. Our findings imply that not only can momentum profits be influenced by market states, but they also can be affected by firm characteristics.