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.

中文翻译：

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动量崩溃和 52 周高点

摘要

当市场反弹时，动量策略偶尔会出现大幅回撤，称为动量崩溃。我们发现，投资者对远离 52 周高点的股票的投机激增可以部分解释动量崩溃。如果将动量策略修改为对 52 周高点效应保持中性，则动量崩盘会显着减弱，并且修改后的策略不会显示顺周期回报。此外，修订后的策略在不同的子时期和国际股票市场产生了更高的夏普比率。