Are momentum crashes pervasive regardless of strategy? Evidence from the foreign exchange market

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Abstract

This article studies the option-like behaviour of popular momentum strategies implemented in foreign exchange markets. The results confirm recent research findings of strong option-like behaviour for momenutm measures, based on the cumulative return from 12 and 6 months prior to the formation date Surprisingly, there is no such evidence for the popular momentum strategy accounting for a 1-month formation period.
Original languageEnglish
Peer-reviewed scientific journalApplied Economics Letters
Volume24
Issue number20
Pages (from-to)1499-1503
Number of pages5
ISSN1350-4851
DOIs
Publication statusPublished - 2017
MoE publication typeA1 Journal article - refereed

Keywords

  • 512 Business and Management
  • Asset pricing
  • international financial markets
  • momentum crash
  • foreign exchange markets
  • currency markets

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