140-year Stock Momentum Strategy Crash Test
November 17, 2014 - Momentum Investing
What conditions foretell stock momentum strategy crashes? In their October 2014 paper entitled “Momentum Trading, Return Chasing, and Predictable Crashes”, Benjamin Chabot, Eric Ghysels and Ravi Jagannathan examine stock momentum strategy performance for both widely used historical U.S. data (starting in 1926 through 2012) and for a hand-collected sample of stocks listed on the London Stock Exchange during 1866 to… Keep Reading