Title:

Crowding and Tail Risk in Momentum Returns

Authors:

Pedro Barroso (U Católica Portuguesa)
Roger M. Edelen (Virginia Polytechnic Institute)
Paul Karehnke (ESCP-EAP)

Journal:

Journal Of Financial And Quantitative Analysis

Year:

2022

Volume:

57

Number:

4

Pages:

1313-1342

JEL code:

G23 - Pension Funds; Other Private Financial Institutions