Momentum Strategies Work… Until They Don’t
In their paper “Momentum Crashes”, Kent Daniel and Tobias J. Moskowitz set out to build a better momentum strategy. After reviewing the research on momentum strategies for equities of…
Mutual fund return persistence, Part 1: Large Cap Value
There has been tons of research as to the existence of true skill among mutual fund managers. Often researchers will look at advanced statistics and in depth…
Another oldie: Economic Links and Predictable Returns
We all see what happens to the companies that supply Apple with components the moment Apple’s newest product is opened up and it’s guts are cataloged, delight…
Oldie but goodie: Do Stock Market Investors Understand the Risk Sentiment of Corporate Annual Reports?
It seems like a relatively straightforward idea that statements by a firms management would contain information outside of what the firms financials say. Now, while reading up…