The efficient-market hypothesis (EMH) is one of the most important economic and financial
hypotheses that have been tested over the past century. Due to many abnormal phenomena …

In this article, the authors document robust momentum behavior in a large collection of 65
widely studied characteristic-based equity factors around the globe. They show that, in …

Which variables provide independent information about the cross-section of future returns?
Portfolio sorts and Fama-MacBeth regressions cannot easily answer this question when the …

In the earliest days of empirical work in academic finance, the size effect was the first market
anomaly to challenge the standard asset pricing model and prompt debates about market …

Stock momentum, long-term reversal, and other past return characteristics that predict future
returns also predict future realized betas, suggesting these characteristics capture time …

This paper provides a review on machine learning methods applied to the asset
management discipline. Firstly, we describe the theoretical background of both machine …

We provide a framework for identifying accounting numbers that indicate risk and expected
return. Under specified accounting conditions for measuring earnings and book value, book …

This study comprehensively evaluates and ranks a large number of competing explanations
for the momentum anomaly. As a benchmark for evaluation, firm fundamentals are found to …

This monograph is a compact introduction to empirical research on market efficiency,
behavioral finance, and fundamental analysis. The first section reviews the evolution of …

50 Stock Portfolio 100 Stock Portfolio 150 Stock Portfolio 200 Stock Portfolio 250 Stock
Portfolio 300 Stock Portfolio 500 Stock Universe 1 month hold 17.0% 14.4% 13.6% 12.7 …