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Journal Article
Value and Momentum Everywhere
June 1, 2013
We find consistent value and momentum return premia across eight diverse markets and asset classes, and a strong common factor structure among their returns.
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
Pronounced Momentum Patterns Ahead of Major Events
March 1, 2003
Many financial asset measures exhibit a weak continuation tendency.
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.
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.
Journal Article
Factor Momentum Everywhere
January 29, 2019
Can individual factors be reliably timed based on their recent performance? This study of 65 widely-studied, characteristic-based equity factors aims to find out.
Working Paper
Follow the Leader: Peer Effects in Mutual Fund Portfolio Decisions
February 1, 2009
This paper demonstrates that mutual funds “follow the leaders"—Trades of well-performing funds are statistically and economically important determinants of subsequent portfolio decisions of the remaining managers.
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.
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.
Perspective
You Can Have Your Momentum Factor and Eat it Too
December 5, 2017
Many investors are quick to dismiss momentum as too costly to implement because of its high turnover. After studying 7 years’ worth of live, real-world data across markets, we debunk that myth.