This paper compares the performance of three enhanced momentum strategies proposed in the literature: constant volatility-scaled momentum, constant semi-volatility-scaled momentum, and dynamic-scaled momentum. Using data for individual stocks from the U.S. and across 48 international countries, we find that all three approaches decrease momentum crashes and lead to higher risk-adjusted returns. However, in multiple factor comparison tests, no enhanced momentum strategy emerges as consistently superior. Finally, cross-country analyses relate momentum and the two constant volatility-scaled momentum returns to market dynamics, whereas dynamic-scaled momentum is significantly less affected, suggesting a reduced sensitivity to time-varying investor overconfidence.

High (low) quality stocks generate anomalously high (low) returns above and beyond expected returns based on betas, market sizes, valuations, and momentum. We provide a comprehensive overview of commonly used quality definitions and test their predictive power for stock returns. We show that quality measures predict stock returns if and only if they forecast earnings growth, and that this information is not contained in other characteristics that have been shown to drive expected stock returns. At the same time, we find that the quality premium is unrelated to different measures of distress risk, and therefore inconsistent with a risk-based interpretation. Finally, our results are robust across different regions and carry over to the corporate bond market.