On persistence in mutual fund performance
MM Carhart - The Journal of finance, 1997 - Wiley Online Library
Using a sample free of survivor bias, I demonstrate that common factors in stock returns and
investment expenses almost completely explain persistence in equity mutual funds' mean …
investment expenses almost completely explain persistence in equity mutual funds' mean …
Value and momentum everywhere
CS Asness, TJ Moskowitz… - The journal of finance, 2013 - Wiley Online Library
We find consistent value and momentum return premia across eight diverse markets and
asset classes, and a strong common factor structure among their returns. Value and …
asset classes, and a strong common factor structure among their returns. Value and …
[HTML][HTML] Time series momentum
We document significant “time series momentum” in equity index, currency, commodity, and
bond futures for each of the 58 liquid instruments we consider. We find persistence in returns …
bond futures for each of the 58 liquid instruments we consider. We find persistence in returns …
International momentum strategies
KG Rouwenhorst - The journal of finance, 1998 - Wiley Online Library
International equity markets exhibit medium‐term return continuation. Between 1980 and
1995 an internationally diversified portfolio of past medium‐term Winners outperforms a …
1995 an internationally diversified portfolio of past medium‐term Winners outperforms a …
[HTML][HTML] Momentum crashes
K Daniel, TJ Moskowitz - Journal of Financial economics, 2016 - Elsevier
Despite their strong positive average returns across numerous asset classes, momentum
strategies can experience infrequent and persistent strings of negative returns. These …
strategies can experience infrequent and persistent strings of negative returns. These …
Style investing
NC Barberis, A Shleifer - 2012 - direct.mit.edu
One of the clearest mechanisms of human thought is classification, the grouping of objects
into categories based on some similarity among them (Rosch and Lloyd 1978; Wilson and …
into categories based on some similarity among them (Rosch and Lloyd 1978; Wilson and …
Momentum has its moments
P Barroso, P Santa-Clara - Journal of Financial Economics, 2015 - Elsevier
Compared with the market, value, or size factors, momentum has offered investors the
highest Sharpe ratio. However, momentum has also had the worst crashes, making the …
highest Sharpe ratio. However, momentum has also had the worst crashes, making the …
Is momentum really momentum?
R Novy-Marx - Journal of Financial Economics, 2012 - Elsevier
Momentum is primarily driven by firms' performance 12 to seven months prior to portfolio
formation, not by a tendency of rising and falling stocks to keep rising and falling. Strategies …
formation, not by a tendency of rising and falling stocks to keep rising and falling. Strategies …
Rational momentum effects
TC Johnson - The Journal of Finance, 2002 - Wiley Online Library
Momentum effects in stock returns need not imply investor irrationality, heterogeneous
information, or market frictions. A simple, single‐firm model with a standard pricing kernel …
information, or market frictions. A simple, single‐firm model with a standard pricing kernel …
The quest for multidimensional financial immunity to the COVID-19 pandemic: Evidence from international stock markets
What determines a country's financial immunity to a global pandemic? To answer this
question, we investigate the behavior of 67 equity markets around the world during the …
question, we investigate the behavior of 67 equity markets around the world during the …