I review the literature on equity market momentum, a seminal and intriguing finding in
finance. This phenomenon is the ability of returns over the past one to four quarters to …

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 …

We examine the role of shorting, firm size, and time on the profitability of size, value, and
momentum strategies. We find that long positions make up almost all of size, 60% of value …

It's been over 20 years since the academic discovery of momentum investing (Jegadeesh
and Titman (1993), Asness (1994)), yet much confusion and debate remains regarding its …

Which variables provide independent information about the cross-section of future returns?
Portfolio sorts and Fama-MacBeth regressions cannot easily answer this question when the …

Using new data from US and global markets, we revisit market risk premium predictability by
equity anomalies. We apply a repertoire of machine-learning methods to forty-two countries …

I review the state of empirical asset pricing devoted to understanding cross-sectional
differences in average rates of return. Both methodologies and empirical evidence are …

Machine learning (ML) is progressively reshaping the fields of quantitative finance and
algorithmic trading. ML tools are increasingly adopted by hedge funds and asset managers …

We examine return predictability with machine learning in 46 stock markets around the
world. We calculate 148 firm characteristics and use them to feed a repertoire of different …

I compare commonly employed factor models across 50 non-US developed and emerging
market countries by ranking them based on their maximum Sharpe ratios. Consistent with …