Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at whether trend following is “dead.”
Research links
- What investors need to consider when building a momentum strategy. (blog.alphaarchitect.com)
- Momentum has a lot of data backing its efficacy. (dualmomentum.net)
- Does trend following and momentum work in global REITs? (blog.alphaarchitect.com)
- Testing momentum in the stock market of Imperial Russia. (papers.ssrn.com)
- Overreaction is why value works. (blog.alphaarchitect.com)
- Value has underperformed. Time to overweight it. (researchaffiliates.com)
- Do US return factors hold up in Europe? (etf.com)
- Rising interest rates need not be a disaster for a diversified portfolio. (blog.alphaarchitect.com)
