Despite their strong positive average returns across numerous asset classes, momentum
strategies can experience infrequent and persistent strings of negative returns. These …

In this article, the authors document robust momentum behavior in a large collection of 65
widely studied characteristic-based equity factors around the globe. They show that, in …

We examine 24 global factor premiums across equity, bond, commodity, and currency
markets via replication and out-of-sample evidence between 1800 and 2016. Replication …

Evaluating how factor premia vary over time and across asset classes is challenging due to
limited time series data, especially outside of US equities. We examine four prominent …

This study attests to the important role of US midterm elections in asset pricing, even more
important than presidential elections. In months following the midterms, equity premiums …

Culture, ie our values, norms, beliefs, and expected behaviors, has a significant influence on
all aspects of social behavior. In addition, the economic policy-making of governments has …

Some of the leading theories of momentum have different empirical predictions that depend
on market composition and structure. The institutional theory predicts lower momentum …

We perform the most comprehensive test of long-term reversal in national equity indices
ever done. Having examined data from 71 countries for the years 1830 through 2019, we …

Is there a short-term reversal effect outside the universe of individual stocks? To answer this,
we investigate a comprehensive dataset of more than two centuries of returns on five major …

This study uncovers a comprehensive result of short-term momentum in the Chinese stock
market. Using the traditional method to construct the momentum strategy, we find momentum …