Trend Following Bibliography

January 08, 2015
  • Contributors:

    AQR Capital Management
  • Topic:

    Trend Following

Here is a selected list of books, journal articles and working papers that we found helpful in developing our research around Trend Following strategies.

Asness, Cliff, 1997, “The Interaction of Value and Momentum Strategies,” Financial Analysts Journal, 53(2), 29–36

Asness, Cliff, 1994, “Variables That Explain Stock Returns,” Ph.D. dissertation, University of Chicago

Asness, Cliff, 1995, “The Power of Past Stock Returns to Explain Future Stock Returns,” working paper, AQR Capital Management

Asness, Cliff, John M. Liew and Ross L . Stevens, 1997, “Parallels Between the Cross-Sectional Predictability of Stock and Country Returns,” The Journal of Portfolio Management, 23(3), 79–87

Asness, Cliff, Tobias J. Moskowitz and Lasse H. Pedersen, 2013, “Value and Momentum Everywhere,” The Journal of Finance, 68(3), 929–985

Chabot, Benjamin, Eric Ghysels and Ravi Jagannathan, 2009, “Momentum Cycles and Limits to Arbitrage: Evidence From Victorian England and Post-Depression U.S. Stock Markets,” working paper, Yale University

Cutler, David M., James M. Poterba and Lawrence H. Summers, 1991, “Speculative Dynamics,” The Review of Economic Studies 58(3), 529–546

Erb, Claude B., and Campbell R. Harvey, 2006, “The Tactical and Strategic Value of Commodity Futures,” Financial Analysts Journal 62(2), 69–97

Frazzini, Andrea, 2004, “The Disposition Effect and the Underreaction to News,” The Journal of Finance, 61(4), 2017–2046

Fung, William, and David A. Hsieh, 2001, “The Risk in Hedge Fund Strategies: Theory and Evidence From Trend Followers,” Review of Financial Studies 14(2), 313–341

Gârleanu, Nicolae, and Lasse H. Pedersen, 2009, “Dynamic Trading With Predictable Returns and Transactions Costs,” The Journal of Finance, 68(6), 2309–2340

Gorton, Gary B., Funio Hayashi and K. Geert Rouwenhorst, 2008, “The Fundamentals of Commodity Futures Returns,” working paper, Yale ICF

Grant, James, 1838, The Great Metropolis, vol. II (Philadelphia: E.L. Carey & A. Hart)

Hurst, Brian K., Yao Hua Ooi and Lasse H. Pedersen, 2012, “A Century of Evidence on Trend-Following Investing,” AQR White Paper

Hurst, Brian K., Yao Hua Ooi and Lasse H. Pedersen, 2010, “Understanding Managed Futures,” AQR White Paper

Hurst, Brian K., Yao Hua Ooi and Lasse H. Pedersen, 2013, “Demystifying Managed Futures,” Journal of Investment Management, 11(3), 42–58

Jegadeesh, Narasimhan, and Sheridan Titman, 1993, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” The Journal of Finance 48(1), 65–91

Jones, Charles M., 2002, “A Century of Stock Market Liquidity and Trading Costs,” working paper, Columbia Business School

Mitchell, Mark L., Lasse H. Pedersen and Todd C. Pulvino, 2007, “Slow Moving Capital,” American Econometric Review, 97(2), 215–220

Moskowitz, Tobias J., Yao Hua Ooi and Lasse H. Pedersen, 2014, “Time Series Momentum,” Journal of Financial Economics, 104(2), 228–250

Rouwenhorst, K. Geert, 1998, “International Momentum Strategies,” The Journal of Finance 53(1), 267–284

Shleifer, Andrei, and Lawrence H. Summers, 1990, “The Noise Trader Approach to Finance,” Journal of Economic Perspectives 4(2), 19–33



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