Dual Momentum on Individual Stocks. Wow.
Hot off the press and haven't had time to reverse engineer and verify, but this is pretty interesting stuff at first glance. The Enduring Effect of Time-Series Momentum on Stock Returns Over Nearly...
View ArticleMedia Coverage and Stock Returns
Ninety Years of Media Coverage and the Cross-Section of Stock Returns Hillert and Ungeheuer A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our...
View ArticleIs Price Momentum a Brother From Another Mother?
Fundamentally, Momentum is Fundamental Momentum Robert Novy-Marx A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category....
View Article‘Tis the Season for strange effects in the stock market.
The efficient market hypothesis suggests that stock prices are always “right” in the sense that stock prices reflect all available information. Of course, during tax season, fundamentals go out the...
View ArticleDIY Asset Allocation Weights: November 2015
Do-It-Yourself tactical asset allocation weights are posted. Create a free account here if you want to access the site directly. Sign in here if you already have a free account. The results are...
View ArticleWhy I Don’t Invest in Momentum Stocks…Yet!
Confirmation bias is the tendency to cling to research/ideas that confirm with what you already believe. This behavioral bias leads to overconfidence and can impede our search for the truth. So in the...
View ArticleDaily Academic Alpha: Momentum Investing and Asset Allocation
The results in this paper won't surprise most who are regular readers, but the paper below does a nice job explaining things in a simple way. For more advanced asset allocation methods that use...
View ArticleCliff Asness Quick Hits: Smart Beta and Risk Parity
Cliff Asness gave a talk at The Bloomberg Markets Most Influential Summit a few weeks ago, and offered up some discussion of recent market developments, including a discussion of the Shiller P/E and...
View ArticleCombining Value and Momentum in Stock Selection and Market Timing
Recently, we wrote two posts about how to combine Value and Momentum for stock selection purposes (Part 1 and Part 2). We followed this piece with a post on combining value and momentum for market...
View ArticleAbsolute Strength Momentum Investing Strategy
Here we highlight an interesting working paper titled "Absolute Strength: Exploring Momentum in Stock Returns" by Gulen and Petkova (2015). The abstract is the following: We document a new pattern in...
View ArticleCombining volatility, momentum, and trend in asset allocation
The Effective Combination of Risk-Based Strategies with Momentum and Trend Following Gregory Guilmin A version of the paper can be found here. Want a summary of academic papers with alpha? Check out...
View ArticleTiming the Market with Mean Reversion Indicators
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...
View ArticleAttention Prop Traders: The first half hour of trading predicts the last half...
Intraday Momentum: The First Half-Hour Return Predicts the Last Half-Hour Return Gao, Han, and Zhou A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our...
View ArticleInteresting Tactical Asset Allocation Tool: Value portfolios
Exploiting Factor Autocorrelation to Improve Risk Adjusted Returns Kevin Oversby A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research...
View ArticleA Surprising Way to time Value and Momentum: Updated Analysis
Exploiting Factor Autocorrelation to Improve Risk Adjusted Returns K Oversby A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research...
View ArticleThe Secret to Momentum is the 52-Week High???
The 52-Week High and Momentum Investing Thomas J. George and Chuan-Yang Hwang A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research...
View ArticleA Modification to the Flexible Asset Allocation Model
Ilya Kipnis is the author of QuantStrat TradeR. We like the work he does on his blog and his willingness to share his source code on various algorithms with the public. We asked Ilya if he'd be...
View ArticleQuantitative Momentum Research: Intermediate-Term Momentum
Return to Buying Winners and Selling Losers: Implications for Stock Market Efficiency Jegadeesh and Titman A version of the paper can be found here. Want a summary of academic papers with alpha? Check...
View ArticleQuantitative Momentum Research: Long-Term Return Reversal
Does the Stock Market Overreact? De Bondt and Thaler 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:...
View ArticleQuantitative Momentum Research: Short-Term Return Reversal
Fads, Martingales, and Market Efficiency Lehmann 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:...
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