NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Momentum Crashes

Kent Daniel, Tobias J. Moskowitz

NBER Working Paper No. 20439
Issued in August 2014

---- Acknowledgements ----

For helpful comments and discussions, we thank Cliff Asness, John Cochrane, Pierre Collin-Dufresne, Eugene Fama, Andrea Frazzini, Gur Huberman, Ronen Israel, Mike Johannes, John Liew, Lasse Pedersen, Tano Santos, Paul Tetlock, Sheridan Titman, Narasimhan Jegadeesh, Will Goetzmann, an anonymous referee, and participants of the NBER Asset Pricing Summer Institute, the Quantitative Trading & Asset Management Conference at Columbia, the 5-Star Conference at NYU, and seminars at Columbia, Rutgers, University of Texas at Austin, USC, Yale, Aalto, BI Norwegian Business School, Copenhagen Business School, Swiss Finance Institute, the Q group, Kepos Capital, and SAC. Moskowitz has an ongoing relationship with AQR Capital, who invests in, among many other things, momentum strategies. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

---- Disclosure of Financial Relationships for Tobias J. Moskowitz ----

Moskowitz is a member of the NBER, has an academic consulting relationship with AQR Capital, and sits on the board of Ariel Capital.

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