Fact, Fiction, and Momentum Investing

By Clifford S. Asness, Andrea Frazzini, Ronen Israel, Tobias J. Moskowitz. Journal of Portfolio Management, 2014

114 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/5deeb75a0f2c290031a4aca4957c24ad4d9a299e

Citations in the corpus

• Tree-Based Conditional Portfolio Sorts: The Relation between Past and Future Stock Returns (2016, unknown): “For much more on momentum, we refer to Asness et al. (2014), who use simple analysis and survey published studies to show that momentum returns are (among other things) not too volatile, are not only a small firm phenomenon, and are not dwarfed by tax considerations or transaction costs.”