Feasible earnings momentum in the U.S. stock market: An investor's perspective
Momentum and trend following in equities over 2005–2015, studied in a 2015 paper. The abstract mentions a benchmark and transaction costs but not an out-of-sample test, multiple testing or the size of the universe.
“This simple alteration leads to an improvement of annualized raw returns to 31.0 percent, equally robust to systematic sources of risk and market frictions.”
AssetEquities
StrategyMomentum
GeographyUS
FrequencyWeekly
Also stated: 2005–2015, Long-short, Long-only, Fundamentals, benchmark, costs
Missing from abstract: out-of-sample test, multiple testing, universe
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The paper's neighbourhoodMomentum and trend following by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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