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Volatility Spikes and Momentum

Haim A. Mozes

The Journal of Beta Investment Strategies2026https://doi.org/10.3905/jbis.2026.1.109article
AJG 1
Weight
0.50

What the paper says

This paper provides evidence that, in recent years, markets have experienced more frequent volatility shocks, but those volatility shocks have reversed more quickly than in past years. This combination of more frequent volatility shocks and quicker recoveries from those shocks helps explain the weak recent performance of the momentum factor. One implication of the paper’s results is that, if volatility spikes remain commonplace and continue to reverse quickly, the momentum factor is likely to continue to perform poorly. A second implication is that if investors continues to use momentum in their investment process, they should dampen or even avoid momentum signals when stock price moves coincide with volatility spikes.

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Cite this paper

https://doi.org/https://doi.org/10.3905/jbis.2026.1.109

Or copy a formatted citation

@article{haim2026,
  title        = {{Volatility Spikes and Momentum}},
  author       = {Haim A. Mozes},
  journal      = {The Journal of Beta Investment Strategies},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.3905/jbis.2026.1.109},
}

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Volatility Spikes and Momentum

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.