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Factor Momentum · Study

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PreprintFactor Momentum

Robert D. mname Arnott2018

OA

Preprintgreen2018

Factor Momentum

Robert D. mname Arnott · Mark Clements · Vitali mname Kalesnik · Juhani T. Linnainmaa

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

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1973Risk, Return, and Equilibrium: Empirical Tests 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 2014A five-factor asset pricing model 1976The arbitrage theory of capital asset pricing 1973An Intertemporal Capital Asset Pricing Model 1998Investor Psychology and Security Market Under‐ and Overreactions

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2019Performance Persistence in Anomaly Returns: Evidence from Frontier Markets 2021Navigating the factor zoo around the world: an institutional investor perspective

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2023Factor Momentumarticle · 25 shared references 2022Factor Momentum and the Momentum Factorarticle · 17 shared references 2019Factor Momentum and the Momentum Factorreport · 17 shared references 2022Momentum: what do we know 30 years after Jegadeesh and Titman’s seminal paper?article · 15 shared references 2017Short and Long Horizon Behavioral Factorsarticle · 14 shared references 2021The Momentum Gap and Return Predictabilityarticle · 14 shared references

Details

Year2018

Typepreprint

Published2018-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations21

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.3116974

openalex_workW4241764699

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