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

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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.
OriginalspråkEngelska
Referentgranskad vetenskaplig tidskriftApplied Economics Letters
Volym24
Utgåva20
Sidor (från-till)1499-1503
Antal sidor5
ISSN1350-4851
DOI
StatusPublicerad - 2017
MoE-publikationstypA1 Originalartikel i en vetenskaplig tidskrift

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  • 512 Företagsekonomi

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