Momentum Crashes and the 52-Week High
研究发现，当市场反弹时，投资者对远离52周高点的股票的投机激增，部分解释了动量策略的崩溃。调整后的策略能显著减弱崩溃，并产生更高的夏普比率。
Momentum strategies suffer from occasional large drawdowns referred to as momentum crashes when the market rebounds. We find that a surge of investor speculation toward stocks far from their 52-week highs can partially explain the momentum crashes. If a momentum strategy is revised to be neutral on a 52-week high effect, momentum crashes are significantly attenuated and the revised strategy does not exhibit procyclical returns. Furthermore, the revised strategy generates a higher Sharpe ratio in different sub-periods and international stock markets.