This comprehensive research study aims to highlight the evolution of momentum investing
research and identify the mature and emerging themes in momentum investing. This study …

One of the important contributions of the fourth industrial revolution is the introduction of robo
advisors as alternates to conventional mutual funds. Robo advisors are mechanized …

We investigate the role of economic uncertainty in the cross-sectional pricing of individual
stocks and equity portfolios. We estimate stock exposure to an economic uncertainty index …

As environmental, social, and governance (ESG) factors become increasingly important in
the business sector, investors pay more attention to corporate ESG information. Integrating …

We document significant “time series momentum” in equity index, currency, commodity, and
bond futures for each of the 58 liquid instruments we consider. We find persistence in returns …

We argue that tests of reduced‐form factor models and horse races between
“characteristics” and “covariances” cannot discriminate between alternative models of …

We find consistent value and momentum return premia across eight diverse markets and
asset classes, and a strong common factor structure among their returns. Value and …

I propose and test a capital-flow-based explanation for some well-known empirical
regularities concerning return predictability—the persistence of mutual fund performance …

This paper applies the Least Absolute Shrinkage and Selection Operator (LASSO) to make
rolling one‐minute‐ahead return forecasts using the entire cross‐section of lagged returns …

We identify networks of volatility spillovers and examine time-varying spillover intensities
with daily implied volatilities of US Treasury bonds, global stock indices, and commodities …