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.

这项研究提出了基于每日收益的等级和符号的替代动量策略。等级和符号动量策略对于出现极端价格波动具有鲁棒性。它们在短期持有期内会产生可观的利润，并且不会出现长期的回报反转。更重要的是，它们包含了传统的价格动力，反之则不然。此外，等级和符号动量策略遇到的动量崩溃要弱得多。进一步的证据表明，等级和符号动量的获利能力较不易受到显着的过去回报的影响，而传统的价格动量赢家（失败者）在面临更高的显着程度时往往被高估（低估）。