Category: Interesting Research Papers
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Asymmetric Risks of Momentum Strategies
Asymmetric Risks of Momentum Strategies is another attempt to explain the excess returns of momentum using the Capital Asset Pricing Model. The paper discusses a theory of risk asymmetry in momentum risk/reward, but not how… Read More
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Ways you sabotage yourself
Investors’ hate being wrong, so they’ll hold on to losing positions and get caught in a loss trap. They will favor information that supports what they already believe, even when new information proves it wrong.… Read More
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The role of shorting, firm size, and time on market anomalies
There are now more than 300 published papers providing evidence of the persistence of price trends (inertia/momentum). We point out the constant flow of new papers adding to the evidence of relative price strength as… Read More