Momentum and Mean Reversion foundational
How return predictability changes with horizon, how cross-sectional and time-series momentum differ, and why the same signal that works for months can fail violently in a rebound.
How return predictability changes with horizon, how cross-sectional and time-series momentum differ, and why the same signal that works for months can fail violently in a rebound.
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References
Momentum crashes
Kent Daniel, Tobias J. Moskowitz
(2016)
— Journal of Financial Economics
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
Narasimhan Jegadeesh, Sheridan Titman
(1993)
— The Journal of Finance
Momentum has its moments
Pedro Barroso, Pedro Santa-Clara
(2014)
— Journal of Financial Economics
A Taxonomy of Anomalies and Their Trading Costs
Robert Novy-Marx, Mihail Velikov
(2016)
— The Review of Financial Studies
Value and Momentum Everywhere
Clifford S. Asness, Tobias J. Moskowitz, Lasse Heje Pedersen
(2013)
— The Journal of Finance
Time Series Momentum
Tobias J. Moskowitz, Yao Hua Ooi, Lasse Heje Pedersen
(2011)