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Value and Momentum Everywhere · Study

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PreprintValue and Momentum Everywhere

Clifford S. Asness2012

OA

Preprintgreen2012

Value and Momentum Everywhere

Clifford S. Asness · Tobias J. Moskowitz · Lasse Heje Pedersen

151 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

2008An Institutional Theory of Momentum and Reversal

Cited by

2014Employee Satisfaction, Labor Market Flexibility, and Stock Returns Around The World 2018Time series momentum: Is it there?2020Which Investors Matter for Equity Valuations and Expected Returns?2016Two Centuries of Price-Return Momentum 2012The Death of Diversification Has Been GreatlyExaggerated 2019Common Risk Factors in Cryptocurrency 2014Two centuries of trend following 2021Is There A Replication Crisis In Finance?

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2017Why Does Return Predictability Concentrate in Bad Times?article · 1 shared reference 2019Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bondsarticle · 1 shared reference 2018Understanding Momentum and Reversalarticle · 1 shared reference 2016Infrequent Rebalancing, Return Autocorrelation, and Seasonalityarticle · 1 shared reference 2016Information percolation, momentum and reversalarticle · 1 shared reference 2010Limits of Arbitrage: The State of the Theorypreprint · 1 shared reference

Details

Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations151

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.2174501

openalex_workW4239701050

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