Momentum Investing Research

//Momentum Investing Research

Quantitative Momentum Research: Price and Earnings Momentum

By | 2017-08-18T16:58:24+00:00 February 3rd, 2015|Research Insights, Momentum Investing Research|

Momentum Strategies Chan, Jegadeesh and Lakonishok 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: We examine whether the predictability of [...]

Quantitative Momentum Research: Short-Term Return Reversal

By | 2017-08-18T16:58:24+00:00 January 14th, 2015|Momentum Investing Research|

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: Predictable variation in equity returns might [...]

Quantitative Momentum Research: Long-Term Return Reversal

By | 2017-08-18T16:58:25+00:00 January 9th, 2015|Momentum Investing Research|

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: Research in experimental [...]

Quantitative Momentum Research: Intermediate-Term Momentum

By | 2017-08-18T16:58:26+00:00 January 6th, 2015|Momentum Investing Research|

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 out our Academic Research [...]

The Secret to Momentum is the 52-Week High???

By | 2017-08-18T16:55:13+00:00 November 11th, 2014|Research Insights, Momentum Investing Research|

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 Recap Category! Abstract: [...]

A Surprising Way to time Value and Momentum: Updated Analysis

By | 2017-08-18T17:11:14+00:00 August 28th, 2014|Value Investing Research, Momentum Investing Research, Tactical Asset Allocation Research|

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 Recap Category! Abstract:  The Fama-French [...]

Interesting Tactical Asset Allocation Tool: Value portfolios

By | 2017-08-18T17:02:54+00:00 August 26th, 2014|Research Insights, Value Investing Research, Momentum Investing Research|

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 Recap Category. Remark:  The Fama-French [...]

Attention Prop Traders: The first half hour of trading predicts the last half hour…

By | 2017-08-18T17:09:56+00:00 August 21st, 2014|Research Insights, Momentum Investing Research|

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 Academic Research [...]

Timing the Market with Mean Reversion Indicators

By | 2017-08-18T16:54:56+00:00 July 15th, 2014|Research Insights, Momentum Investing Research, Tactical Asset Allocation Research|

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 Category! Abstract: We document [...]

Combining volatility, momentum, and trend in asset allocation

By | 2017-08-18T17:07:59+00:00 September 29th, 2015|Research Insights, Momentum Investing Research, Tactical Asset Allocation Research|

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 our Academic Research Recap Category. [...]

Combining Value and Momentum in Stock Selection and Market Timing

By | 2017-08-18T17:08:00+00:00 August 25th, 2015|Momentum Investing Research, Tactical Asset Allocation Research|

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 timing purposes. In this post, we review [...]

Daily Academic Alpha: Momentum Investing and Asset Allocation

By | 2017-08-18T17:07:29+00:00 October 12th, 2015|Momentum Investing Research, Tactical Asset Allocation Research|

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 momentum [...]

Why I Don’t Invest in Momentum Stocks…Yet!

By | 2017-08-18T16:52:12+00:00 October 30th, 2015|Guest Posts, Value Investing Research, Momentum Investing Research|

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 spirit of healthy debate and [...]

DIY Asset Allocation Weights: November 2015

By | 2017-08-18T17:06:32+00:00 November 6th, 2015|Research Insights, Tool Updates, Value Investing Research, Momentum Investing Research|

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 hypothetical results and are [...]

‘Tis the Season for strange effects in the stock market.

By | 2017-08-18T17:12:00+00:00 December 29th, 2015|Momentum Investing Research, Tactical Asset Allocation Research|

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 window: I’m selling my losers, [...]

Is Price Momentum a Brother From Another Mother?

By | 2017-08-18T17:01:40+00:00 January 21st, 2016|Research Insights, Momentum Investing Research, $mtum|

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. Abstract: Momentum in firm fundamentals, i.e., [...]

Media Coverage and Stock Returns

By | 2017-08-18T17:00:55+00:00 February 9th, 2016|Research Insights, Behavioral Finance, Momentum Investing Research|

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 Academic Research Recap [...]

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