We examine return crashes of five representative momentum strategies|3, 6, and 11 month price, 52-week high price, and 6-month industry|in Korean stock markets. As in the U.S. markets, momentum portfolios tend to exhibit negative betas in periods of market stress and return crashes in subsequent market rebound periods, but these phenomena are much weaker in case of 3-month price or industry momentum strategies. We then consider investment strategies that can alleviate the market-related momentum crash risks: (i) two momentum portfolio weighting adjustment methods, dynamic adjustments (DAs) and constant volatility adjustments (CVAs), and (ii) an alternative cross-sectional momentum strategy, residual momentum (RM). Relative to CVAs, DAs enhance performances of momentum strategies more by substantially lowering magnitude of momentum crashes. RM returns also exhibit lower magnitude of crashes than price momentum returns during market rebounds and, thus, do not bene t from portfolio weighting adjustments. Our paper provides novel momentum investment implications in Korean markets.​

JEL classification: G12, G15, G23.
Keywords: Momentum crashes, Korean Market, Risk Managed Momentum.