NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Tail Risk in Momentum Strategy Returns

Kent Daniel, Ravi Jagannathan, Soohun Kim

NBER Working Paper No. 18169
Issued in June 2012

---- Acknowledgements -----

This paper originally appeared under the title "Risky Cycles in Momentum Returns". 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, the participants of seminars at Northwestern University, the Indian School of Business, the Securities and Exchange Board of India, Shanghai Advanced Institute for Finance, Shanghai Jiao Tong University, Fordham University, and Nomura Securities, and the participants of the Fourth Annual Conference of the Society for Financial Econometrics, the Fifth Annual Triple Crown Conference in Finance, and the 2012 WFA meeting for many helpful comments and 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.

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