Bimodal Characteristic Returns and Predictability Enhancement via Machine Learning
(2021)
Journal Article
Han, C. (2022). Bimodal Characteristic Returns and Predictability Enhancement via Machine Learning. Management Science, 68(10), 7701-7741. https://doi.org/10.1287/mnsc.2021.4189
This paper documents the bimodality of momentum stocks: both high- and low-momentum stocks have nontrivial probabilities for both high and low returns. The bimodality makes the momentum strategy fundamentally risky and can cause a large loss. To alle... Read More about Bimodal Characteristic Returns and Predictability Enhancement via Machine Learning.