Low-frequency factors and momentum
Common risk factors in the returns on stocks and bonds
Market, size (SMB) and value (HML) factors. The baseline any equity signal must beat or neutralise.
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
The original cross-sectional momentum paper: stocks that won over the past 3-12 months keep beating the losers.
Time series momentum
An asset's own past 12-month return predicts its next return across dozens of futures markets. The academic basis of trend following.
Value and Momentum Everywhere
Value and momentum premia show up in eight markets and asset classes and are negatively correlated with each other, so combine them.
Momentum crashes
Momentum crashes in panic rebounds after market falls. A dynamically scaled momentum strategy roughly doubles the Sharpe ratio.
A Taxonomy of Anomalies and Their Trading Costs
Most high-turnover anomalies do not survive transaction costs. Simple cost-mitigation rules, like a buy/hold spread, rescue some of them.
Empirical Asset Pricing via Machine Learning
Compares linear, tree and neural models for predicting stock returns. Trees and neural nets win, driven mostly by momentum, liquidity and volatility signals.