High momentum returns cannot be explained by risk factors, but they are negatively skewed and subject to occasional severe crashes. I explore the timing of momentum crashes and show that momentum strategies tend to crash in 1-3 months after the local stock market plunge. Next, I propose a simple...

I provide a novel risk-based explanation for the profitability of momentum strategies. I show that the past winners and the past losers are differently exposed to the upside and downside market risks. Winners systematically have higher relative downside market betas and lower relative upside...

I provide a novel risk-based explanation for the profitability of momentum strategies. I show that past winners have higher extra downside risk and lower extra upside risk (on top of the market-beta risk) than past losers. As a result, the winner-minus-loser momentum portfolios are exposed to...

I look at the cryptocurrency market through the prism of standard multifactor asset-pricing models with particular attention to the downside market risk. The analysis for 1,700 coins reveals that there is a significant heterogeneity in the exposure to the downside market risk, and that a higher...

I look at the cryptocurrency market through the prism of standard multi-factor asset-pricing models with particular attention to the downside market risk. The analysis for 1,700 coins reveals that there is a significant heterogeneity in the exposure to the downside market risk, and that a higher...

High momentum returns cannot be explained by risk factors, but they are negatively skewed and subject to occasional severe crashes. I explore the timing of momentum crashes and show that momentum strategies tend to crash in 1-3 months after the local stock market plunge. Next, I propose a simple...

We consider a variety of highly-diversified cross-sectional momentum and reversal strategies, with sorting and holding periods from 1 week up to 2 years. In a sample of 2,000 biggest cryptocurrencies during 2014-2020, we identify a positive momentum on short horizons up to 2-4 weeks and a...

We consider a variety of cryptocurrency and equity risk factors as potential forces that drive cryptocurrency returns and carry risk premiums. In a cross-section of 2,000 biggest cryptocurrencies, only downside market risk, cryptocurrency size and policy uncertainty factors are systematically...