Tail Risk in Momentum Strategy Returns
---- Acknowledgements ----
This paper originally appeared under the title “Risky Cycles in Momentum Returns.” We thank Raul Chhabbra, Randolph B. Cohen, Zhi Da, Gangadhar Darbha, Francis Diebold, Robert Engel, Bryan T. Kelly, Robert Korajczyk, Jonathan Parker, Prasanna Tantri, Lu Zhang, and the participants of seminars at Northwestern University, the Indian School of Business, the Securities and Exchange Board of India, Shanghai Advance Institute for Finance, Shanghai Jiao Tong University, Fordham University, they University of Virginia, Nomura Securities and participants of the Fourth Annual Conference of the Society for Financial Econometrics, the Fifth Annual Triple Crown Conference in Finance, the WFA meetings, the Becker-Friedman Institute Conference honoring Lars Hansen at the University of Chicago and the 2016 Ivey School at Western University Conference. For helpful comments on the earlier version of the paper. In particular, we thank the editor and two anonymous referees for insightful comments and helpful suggestions. We alone are responsible for any errors and omissions. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.