Momentum strategies exhibit rare but dramatic losses (crashes), which we show are a result of the leverage dynamics of stocks in the momentum portfolio. When the economy is in a hidden turbulent state associated with a depressed and volatile stock market, the short-side of the momentum portfolio becomes highly levered, and behaves like a call option on the market index portfolio, making momentu...

We replicate Moskowitz and Grinblatt’s (1999) findings on industry momentum using data for US large cap stocks between 1998 and 2007. Moskowitz and Grinblatt find that industry momentum strategies appear to be highly profitable. Moskowitz and Grinblatt also demonstrate that individual stock momentum strategies, which buy past winning stocks and sell past losing stocks, are less profitable after...

There are different strategies for selecting stocks, and different investors use different strategies according to their risk tolerance or their expected rate of return. In this study, the profitability of a broad range of stock se-lection strategies in Tehran Stock Exchange over the period 1370-1383, has been examined, and it has been investigated whether the successful strategies in other cou...

Similar to previous Canadian, US, and international studies, we find evidence of momentum in stock returns, using a Canadian sample over the 1981 to 1999 period. However, unlike recent US evidence provided by Moscowitz and Grinblatt (1999), we cannot attribute the majority of the excess returns produced by a stock momentum strategy to industry momentum. While we do find evidence that industry m...

To explain the reason why momentum effect in emerging markets is much weaker than that in developed markets. We divide the traditional momentum returns into intra-style momentum and inter-style momentum effect on the basis of style investing. According to the result, intra-style momentum effect spreads widely in all of the twelve emerging markets, as the primary driving factor for the overall m...

contrarian and momentum investing strategies are two techniques which are used in stock markets to enhance portfolio return. contrarian investing strategy states that stocks which had better performances in the past should be sold and stocks that had poor performances should be bought. in practice, this strategy is used for a package of stocks and for portfolio formation. the main objective of ...