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

Klaus Grobys; Jesper Per Alexander Haga

doi:10.1080/13504851.2017.1287852

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

Klaus Grobys, Jesper Per Alexander Haga

Finansiell ekonomi, Vasa

University of Vaasa

Forskningsoutput: Tidskriftsbidrag › Artikel › Vetenskaplig › Peer review

3 Citeringar (Scopus)

Sammanfattning

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.

Originalspråk	Engelska
Referentgranskad vetenskaplig tidskrift	Applied Economics Letters
Volym	24
Nummer	20
Sidor (från-till)	1499-1503
Antal sidor	5
ISSN	1350-4851
DOI	https://doi.org/10.1080/13504851.2017.1287852
Status	Publicerad - 2017
MoE-publikationstyp	A1 Originalartikel i en vetenskaplig tidskrift

Nyckelord

512 Företagsekonomi

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10.1080/13504851.2017.1287852

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title = "Are momentum crashes pervasive regardless of strategy? Evidence from the foreign exchange market",

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.",

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

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