Momentum and Beta Asymmetry
June 6, 2014 - Momentum Investing
Does the return to momentum investing reliably reflect a reward for taking some risk? In the March 2014 version of her paper entitled “Asymmetric Risks of Momentum Strategies”, Victoria Dobrynskaya examines the performance of past winner and loser stocks, stock indexes and currency exchange rates during global equity market advances and declines. She focuses on the difference between downside and… Keep Reading