Tail Risk in Momentum Strategy Returns
---- Acknowledgements ----
This paper originally appeared under the title “Risky Cycles in Momentum Returns.” We thank Torben Andersen, Raul Chhabbra, Randolph B. Cohen, Zhi Da, Gangadhar Darbha, Ian Dew- Becker, Francis Diebold, Robert Engel, Bryan T. Kelly, Robert Korajczyk, Jonathan Parker, Prasanna Tantri, Viktor Todorov, Lu Zhang, and the participants of seminars at the Becker-Friedman Institute Con- ference honoring Lars Hansen at the University of Chicago, the Fifth Annual Triple Crown Conference in Finance, Fordham University, the Indian School of Business, London Business School, London School of Economics, Nomura Securities, Northwestern University, the Oxford-Man Institute of Quantitative Finance, the Securities and Exchange Board of India, Shanghai Advance Institute for Finance, Shanghai Jiao Tong University, the SoFiE Conference, the University of Virginia, the WFA meetings, and the 2016 Value In- vesting Conference at Western University, for helpful comments on the earlier versions of the paper. Special thanks to Lu Zhang for providing us time series data on q-factor model. 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.