Non-parametric momentum based on ranks and signs

Tsung Yu Chen, Pin Huang Chou, Kuan Cheng Ko, S. Ghon Rhee

研究成果: 雜誌貢獻期刊論文同行評審

6 引文 斯高帕斯(Scopus)


This study proposes alternative momentum strategies built on the rank and sign of daily returns. Rank and sign momentum strategies are robust to the presence of extreme price movements. They generate significant profits for short-term holding periods and exhibit no long-term return reversals. More importantly, they subsume traditional price momentum, but not vice versa. In addition, rank and sign momentum strategies experience much weaker momentum crashes. Further evidence indicates that rank and sign momentum profitability is less vulnerable to salient past returns while traditional price momentum winners (losers) tend to be overvalued (undervalued) when they face a higher degree of salience.

頁(從 - 到)94-109
期刊Journal of Empirical Finance
出版狀態已出版 - 1月 2021


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