Residential College | false |
Status | 即將出版Forthcoming |
Coskewness and reversal of momentum returns: The US and international evidence | |
Dong, L.2; Dai, Y.3; Haque, T.4; Kot, H.W.1![]() ![]() | |
2022-10 | |
Source Publication | Journal of Empirical Finance
![]() |
ABS Journal Level | 3 |
ISSN | 0927-5398 |
Abstract | The winner-minus-loser (WML) momentum strategy carries an inherent downside as its returns have negative coskewness. We propose a coskewness-volatility-managed momentum strategy that reduces the reversal risk of the baseline WML strategy by 61% and that of the volatility-managed momentum strategy (Barosso and Santa-Clara, 2015) by 20% for US stocks. The returns of our strategy generate a slightly positive skewness in contrast with the negative skewness of the WML and volatility-managed strategies. Since the coskewness of momentum portfolio returns predict future returns for up to 12 months, our strategy is effective for momentum portfolios of holding periods longer than one month. Our strategy also mitigates momentum downside risks in major international stock markets such as the UK, Germany, and France. |
Keyword | Reversal Risk Coskewness Momentum |
DOI | https://doi.org/10.1016/j.jempfin.2022.10.004 |
URL | View the original |
Indexed By | SSCI |
Language | 英語English |
Publisher | ScienceDirect |
Fulltext Access | |
Citation statistics | |
Document Type | Journal article |
Collection | DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS |
Corresponding Author | Yamada, T. |
Affiliation | 1.University of Macau 2.Hunan University of Technology and Business 3.Independent 4.University of Adelaide 5.Australian National University |
Recommended Citation GB/T 7714 | Dong, L.,Dai, Y.,Haque, T.,et al. Coskewness and reversal of momentum returns: The US and international evidence[J]. Journal of Empirical Finance,2022. |
APA | Dong, L.,Dai, Y.,Haque, T.,Kot, H.W.,&Yamada, T..(2022).Coskewness and reversal of momentum returns: The US and international evidence.Journal of Empirical Finance. |
MLA | Dong, L.,et al."Coskewness and reversal of momentum returns: The US and international evidence".Journal of Empirical Finance (2022). |
Files in This Item: | Download All | |||||
File Name/Size | Publications | Version | Access | License | ||
1-s2.0-S092753982200(2628KB) | 期刊论文 | 作者接受稿 | 开放获取 | CC BY-NC-SA | View Download |
Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.
Edit Comment