@article { , title = {Momentum and the Cross-section of Stock Volatility}, abstract = {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.}, doi = {10.1016/j.jedc.2022.104524}, issn = {0165-1889}, journal = {Journal of Economic Dynamics and Control}, publicationstatus = {Published}, publisher = {Elsevier}, url = {https://hull-repository.worktribe.com/output/4076266}, volume = {144}, keyword = {Cross-sectional momentum, Momentum crashes, Generalised risk-adjusted momentum, Excess volatility, Volatility timing}, year = {2022}, author = {Fan, Minyou and Kearney, Fearghal and Li, Youwei and Liu, Jiadong} }