A Productivity Augmented Capital Asset Pricing Approach to Anomaly Resolution
“Unconditional estimations of these models are unable to explain the abnormal returns associated with simple strategies based on prior-return portfolios (momentum); and conditional estimations have not yet been applied to momentum strategies.”
AssetEquities
StrategyMomentumvalue investing
TechniqueLinear factor model
GeographyEurope
Also stated: Alpha, Fundamentals
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMomentum and trend following by year
FamilyMomentum and trend following289Factor investing240Machine learning return prediction153News sentiment and text signals14818 more · 854
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