Template-type: ReDIF-Paper 1.0
Author-Name: Hongwei Chuang
Author-Name-First:Hongwei
Author-Name-Last: Chuang
Author-Email: hongwei@iuj.ac.jp
Author-Workplace-Name: IUJ Research Institute, International University of Japan
Title: Momentum Has Its Own Values
Abstract: We find high momentum stocks with preserving substantial "fundamental value" are more likely to rebound after unexpected financial shocks. The portfolio test show that our proposed investment strategy can inherit more portfolio downside risk, especially the momentum crash during turbulent times.
Classification-JEL: G11, G12, G14
Length: 43 pages
Creation-Date: 2021-02
Number: EMS_2021_02
File-URL: https://www.iuj.ac.jp/workingpapers/index.cfm?File=EMS_2021_02.pdf
File-Format: Application/pdf
File-Function: First version, 2021
File-Size: 631KB
Keywords: Momentum; Financial Crisis; Fama-French Factors; Systemic Risk
Handle: RePEc:iuj:wpaper:EMS_2021_02