Financial market behavior and key trading strategies—illuminated by interviews with top
hedge fund experts Efficiently Inefficient describes the key trading strategies used by hedge …

The last three decades brought mounting evidence regarding the cross-sectional
predictability of country equity returns. The studies not only documented country-level …

While time series momentum is a well-studied phenomenon in finance, common strategies
require the explicit definition of both a trend estimator and a position sizing rule. In this …

Time series momentum (TSM) refers to the predictability of the past 12-month return on the
next one-month return and is the focus of several recent influential studies. This paper …

We examine the long-term relationship between signals derived from nine years of
unstructured social media microblog text data and financial market developments in five …

We examine 24 global factor premiums across equity, bond, commodity, and currency
markets via replication and out-of-sample evidence between 1800 and 2016. Replication …

We document strong time-series momentum effects in individual stocks in the US markets
from 1927 to 2017. Time-series momentum is not specific to sub-periods, firm sizes …

This article documents a significant time-series momentum effect that is consistent and
robust across all examined conventional asset classes from 1969 to 2015. We find that the …

Momentum strategies are an important part of alternative investments and are at the heart of
commodity trading advisors (CTAs). These strategies have, however, been found to have …

We establish the existence of anomalous excess returns based on trend following strategies
across four asset classes (commodities, currencies, stock indices, bonds) and over very long …