Similar to "Momentum Crashes"
Momentum Has Its Moments: papers.ssrn.com/sol3/pa…
And another paper looking to mitigate crash risk is:
Momentum Crashes and the 52-week High: papers.ssrn.com/sol3/pa…
Momentum Has Its Moments: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2041429
Momentum Crashes and the 52-week High: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2900073
Thanks! I'll take a look at the papers and see how to implement them.. Cheers!
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Similar to "Momentum Crashes"
Momentum Has Its Moments: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2041429
And another paper looking to mitigate crash risk is:
Momentum Crashes and the 52-week High: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2900073
Thanks! I'll take a look at the papers and see how to implement them.. Cheers!