While momentum benefits from persistent trends of the market, such strategies are unable to distinguish between upside and downside risk and suffer consequently. We propose a Partial Moment Momentum (PMM) trading strategy that is sensitive to the sign of risk and show risk-adjusted outperformance compared to plain momentum and volatility-adjusted momentum strategies. The outperformance is robust across multiple time periods and in particular during market downturns. Further analysis based on conventional linear factor models shows negligible exposure to factor risk for our PMM portfolio. Finally, the performance of our proposed strategy appears to be enhanced when time series momentum is present and allows for improved risk management by distinguishing between upside and downside risks.

ABSTRACT Addressing income inequality is crucial for ensuring equitable and prosperous societies. This study examines the impact of the local press on intrafirm pay disparity. By using recently mandated disclosures of CEO-worker pay ratios and analyzing the staggered shutdown of local newspapers, we find that within-firm pay disparity increases by 8.2 percent following local newspaper closures. Further analysis suggests that this post-closure increase in pay disparity ratio is unlikely to be driven by either CEO compensation or worker pay alone or underlying economic conditions but instead reflects reduced concerns over reputational damage. Overall, our findings are consistent with local newspapers’ playing an important role in disseminating CEO-worker pay ratios and amplifying their reputational effects, thereby shaping and monitoring within-firm pay disparity. Data Availability: Data used in this study are available from public sources identified in the paper. JEL Classifications: G38; J31; M12; L82.