DC Field | Value | Language |
---|---|---|
dc.contributor.author | Byun, Suk-Joon | ko |
dc.contributor.author | Jeon, Byounghyun | ko |
dc.date.accessioned | 2023-07-17T03:00:15Z | - |
dc.date.available | 2023-07-17T03:00:15Z | - |
dc.date.created | 2023-07-13 | - |
dc.date.issued | 2023-04 | - |
dc.identifier.citation | FINANCIAL ANALYSTS JOURNAL, v.79, no.2, pp.120 - 139 | - |
dc.identifier.issn | 0015-198X | - |
dc.identifier.uri | http://hdl.handle.net/10203/310523 | - |
dc.description.abstract | Momentum strategies suffer from occasional large drawdowns referred to as momentum crashes when the market rebounds. We find that a surge of investor speculation toward stocks far from their 52-week highs can partially explain the momentum crashes. If a momentum strategy is revised to be neutral on a 52-week high effect, momentum crashes are significantly attenuated and the revised strategy does not exhibit procyclical returns. Furthermore, the revised strategy generates a higher Sharpe ratio in different sub-periods and international stock markets. | - |
dc.language | English | - |
dc.publisher | ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD | - |
dc.title | Momentum Crashes and the 52-Week High | - |
dc.type | Article | - |
dc.identifier.wosid | 001017766900001 | - |
dc.identifier.scopusid | 2-s2.0-85152426809 | - |
dc.type.rims | ART | - |
dc.citation.volume | 79 | - |
dc.citation.issue | 2 | - |
dc.citation.beginningpage | 120 | - |
dc.citation.endingpage | 139 | - |
dc.citation.publicationname | FINANCIAL ANALYSTS JOURNAL | - |
dc.identifier.doi | 10.1080/0015198X.2023.2183706 | - |
dc.contributor.localauthor | Byun, Suk-Joon | - |
dc.contributor.nonIdAuthor | Jeon, Byounghyun | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | 52-week high | - |
dc.subject.keywordAuthor | anchoring bias | - |
dc.subject.keywordAuthor | investor sentiment | - |
dc.subject.keywordAuthor | momentum | - |
dc.subject.keywordAuthor | momentum crash | - |
dc.subject.keywordAuthor | > | - |
dc.subject.keywordPlus | INDUSTRY MOMENTUM | - |
dc.subject.keywordPlus | RISK | - |
dc.subject.keywordPlus | RETURNS | - |
dc.subject.keywordPlus | HETEROSKEDASTICITY | - |
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