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 …

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 …

[HTML][HTML] Time series momentum

TJ Moskowitz, YH Ooi, LH Pedersen - Journal of financial economics, 2012 - Elsevier
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 …

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 …

[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 …

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 …

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 …

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 …

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 …

The quest for multidimensional financial immunity to the COVID-19 pandemic: Evidence from international stock markets

A Zaremba, R Kizys, P Tzouvanas, DY Aharon… - Journal of International …, 2021 - Elsevier
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 …