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Working Paper
Implementing Momentum: What Have We Learned?
December 26, 2017
We use seven years of live data to evaluate the implementability of momentum investing.
Journal Article
Do Industries Explain Momentum?
August 1, 1999
The ability to outperform buy-and-hold strategies by acquiring past winning stocks and selling past losing stocks, commonly referred to as "individual stock momentum," remains one of the most puzzling of these anomalies, both because of its magnitude (up to 12 percent abnormal return per dollar long on a self-financing strategy per year) and because of the peculiar horizon pattern that it seems to follow: Trading based on individual stock momentum appears to be a poor strategy when using a short historical horizon for portfolio formation (especially less than one month); it is highly profitable at intermediate horizons (up to 24 months, although it is strongest in the 6- to 12-month range); and is again a poor strategy at longer horizons. This paper largely focuses on the positive persistence in stock returns (or momentum effect) over intermediate investment horizons (6 to 12 months) and explores various explanations for its existence.
Journal Article
Home Bias at Home: Local Equity Preference in Domestic Portfolios
January 1, 1999
The strong preference for domestic equities exhibited by investors in international markets, despite the well-documented gains from international diversification, remains an important yet unresolved empirical puzzle in financial economics. Though such behavior appears to be grossly inefficient from a diversification standpoint, academics have offered a variety of explanations for this phenomenon. Home bias explanations can be assigned to two groups: those that rely on national/governmental frictions and those that rely on frictions associated with distance.
Journal Article
The Role of Shorting, Firm Size and Time on Market Anomalies
May 1, 2013
The pervasiveness, robustness and magnitude of return premia associated with size, value and momentum has made them the focal point for discussions of market efficiency, etc.
Journal Article
The Effects of Stock Lending on Security Prices
October 1, 2013
The impact of short selling is the subject of an ongoing debate among academics, investment committees, corporate boards, and regulators.
Journal Article
Momentum Crashes
September 1, 2016
A momentum strategy is a bet that past returns will predict future returns in the cross-section of assets, and is typically implemented by buying past winners and selling past losers.
Journal Article
Investing with Style
January 2, 2015
Investors are bombarded with a variety of investment strategies and alternatives from an ever-growing and increasingly complex financial industry, each claiming to improve returns and reduce risk.
Journal Article
Testing Agency Theory With Entrepreneur Effort and Wealth
March 2, 2005
We apply agency theory to an entrepreneurial setting by augmenting the standard principal-agent framework.We then test the model’s implications using unique data on entrepreneurial effort and wealth in privately held firms. In the model, a risk-averse entrepreneur seeking financing wishes to sell part of his equity stake to outside investors concerned with moral hazard.
Journal Article
Time Series Momentum
May 1, 2012
We document an asset pricing anomaly we term “time series momentum,” which is remarkably consistent across very different asset classes and markets.
Journal Article
An Analysis of Covariance Risk and Pricing Anomalies
January 1, 2003
Much research has focused on the relation between firm characteristics and mean returns, but this article examines the link between well‐known asset pricing “anomalies” and the covariance structure of returns.