Momentum and the Cross-section of Stock Volatility
研究发现动量策略的回报不确定性源于个股横截面波动率，高波动股票会削弱动量效应；提出的广义风险调整动量（GRJMOM）方法在多资产类别中比现有方法更盈利且风险更低。
Recent literature shows that momentum strategies exhibit significant downside risks over certain periods, called “momentum crashes”. We find that high uncertainty of momentum strategy returns is sourced from the cross-sectional volatility of individual stocks. Stocks with high realised volatility over the formation period tend to lose momentum effect. We propose a new approach, generalised risk-adjusted momentum (GRJMOM), to mitigate the negative impact of high momentum-specific risks. GRJMOM is proven to be more profitable and less risky than existing momentum ranking approaches across multiple asset classes, including the UK stock, commodity, global equity index, and fixed income markets.