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Journal Article
The Interaction of Value and Momentum Strategies
March 1, 1997
Researchers have convincingly demonstrated that value strategies can be used to predict stock returns.
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
Fact, Fiction and Momentum Investing
September 23, 2014
Momentum is the phenomenon that securities that have performed well relative to peers (winners) on average continue to outperform, and securities that have performed relatively poorly (losers) tend to continue to underperform.
Perspective
A Comment on Cochrane's Recent Blog Post
November 25, 2014
Even the guys we admire pick on momentum! Here are some of Cliff's quick thoughts to John Cochrane's post on the topic, included in the comments section of his blog.
Data Set
AQR Momentum Indices, Monthly
March 1, 2019
We have developed methodologies for U.S. and international markets that capture momentum in an intuitive and transparent way. The methodology can be applied to any universe of stocks. We have included monthly data for our three momentum indices here.
Data Set
Value and Momentum Everywhere: Original Paper Data
February 27, 2018
This is the original data set used for our paper “Value and Momentum Everywhere,” in which we find consistent value and momentum return premia across eight diverse markets and asset classes, and a common factor structure among their returns.
Data Set
Value and Momentum Everywhere: Factors, Monthly
June 30, 2019
We have updated and extended the data set for the paper, “Value and Momentum Everywhere.” Our research shows consistent value and momentum return premia in eight diverse markets and asset classes, and a common factor structure among their returns.
Journal Article
Momentum in Japan: The Exception That Proves the Rule
January 1, 2011
Momentum strategies have been notable successes in most places researchers have looked.
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.
Working Paper
The Power of Past Stock Returns to Explain Future Stock Returns
January 1, 1995
We find that a properly specified one-year momentum strategy has explanatory power for stock returns when used alone, when tested against size and book-to-market, and when subjected to exhaustive robustness checks.