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Momentum Has Its Own Values

Author

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  • Hongwei Chuang

    (IUJ Research Institute, International University of Japan)

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.

Suggested Citation

  • Hongwei Chuang, 2021. "Momentum Has Its Own Values," Working Papers EMS_2021_02, Research Institute, International University of Japan.
    • Handle: RePEc:iuj:wpaper:ems_2021_02
    as

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    File URL: https://www.iuj.ac.jp/workingpapers/index.cfm?File=EMS_2021_02.pdf
    File Function: First version, 2021
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Momentum; Financial Crisis; Fama-French Factors; Systemic Risk;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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