JEL Classification: G12; G14.
Keywords: Rank; Sign; Non-parametric measures; Price momentum.
학회소식
[2019년 제 4차] Rank, Sign, and Momentum
작성자 : 관리자
조회수 : 41
게시일 :
2019-12-13
This study proposes non-parametric momentum strategies built on rank and sign of daily returns.
Rank and sign momentum strategies are robust to salient price movements whereas traditional
momentum strategies built on parametric performance measures are vulnerable to those
movements. Rank and sign momentum strategies generate significant profits for short-term
holding periods and exhibit no long-term return reversals. These profits are not explained by riskbased
models. More importantly, rank and sign momentum strategies subsume traditional price
momentum, but not vice versa. Rank and sign momentum profits are less vulnerable to momentum
crash and out-of-sample evidence based on six major international markets, which indicates that it
is not the result of data mining.
