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Non-parametric momentum based on ranks and signs
Institution:1. Feng Chia University, Taichung City 407802, Taiwan;2. National Central University, Taoyuan City 320317, Taiwan;3. Chung Yuan Christian University, Taoyuan City 320314, Taiwan;4. University of Hawai''i, 2404 Maile Way, Honolulu, HI 96822, United States
Abstract:This study proposes alternative momentum strategies built on the rank and sign of daily returns. Rank and sign momentum strategies are robust to the presence of extreme price movements. They generate significant profits for short-term holding periods and exhibit no long-term return reversals. More importantly, they subsume traditional price momentum, but not vice versa. In addition, rank and sign momentum strategies experience much weaker momentum crashes. Further evidence indicates that rank and sign momentum profitability is less vulnerable to salient past returns while traditional price momentum winners (losers) tend to be overvalued (undervalued) when they face a higher degree of salience.
Keywords:Rank  Sign  Salience  Price momentum
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