http://papers.ssrn.com/sol3/papers.cfm? ... id=2226689
Asset Pricing Anomalies Hide Extreme Tail-Risk
Wesley R. Gray and Jack R. Vogel use stock data from all firms on the NYSE between 1963 and 2012 to find that long/short asset pricing anomalies such as momentum incur significant tail risk, with losses that would trigger margin calls and investor withdrawals at some point in the sample. The authors conclude that the anomalies are not anomalous at all as they represent strategies with extreme tail risk.
Not sure if this paper has been mentioned before.