Skewness-enhanced Stock Momentum
May 15, 2015 - Momentum Investing
Can investors amplify stock return momentum by screening past winners and losers based on return skewness? In their April 2015 paper entitled “Expected Skewness and Momentum”, Heiko Jacobs, Tobias Regele and Martin Webee explore the interaction of expected stock return skewness and momentum. They measure expected skewness as maximum daily return over the preceding month, which predicts future skewness… Keep Reading