Mean Reversion, Momentum and Return Predictability Huang, Jiang, Tu, Zhou A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category! Abstract: We document significant short-term time-series mean reversion in the up-market and momentum in the down-market. We find that the market risk premium [...]
The post Timing the Market with Mean Reversion Indicators appeared first on Alpha Architect.