Momentum in equities
191 papers on momentum in equities as a systematic trading strategy. Momentum papers on single stocks and equity indices: 191 of the 289 in momentum and trend following. 91 name a method, most often linear factor models (78). The most cited is Technical Analysis in Financial Markets (2004).
Papers1912000–2026
Share of the family66 %191 of 289
| cited by | method | ||
|---|---|---|---|
| Technical Analysis in Financial Markets by Griffioen | 375 | Classical time series | 2004 |
| Asset Pricing Models and Financial Market Anomalies by Avramov and Chordia | 141 | 2003 | |
| A Flow-Based Explanation for Return Predictability by Lou | 98 | 2009 | |
| Persistence in Mutual Fund Performance: 2.0 by Eser | 86 | Linear factor models | 2008 |
| The Role of Shorting, Firm Size, and Time on Market Anomalies by Israel and Moskowitz | 68 | 2012 | |
| Earnings and Price Momentum by Chordia and Shivakumar | 61 | Linear factor models | 2002 |
| Investing in Equity Mutual Funds by Pástor and Stambaugh | 51 | Linear factor models | 2001 |
| Expected Skewness and Momentum by Jacobs et al. | 36 | Linear factor models | 2015 |
| Firm Characteristics and Empirical Factor Models: A Model-Mining Experiment by Kogan and Tian | 34 | Linear factor models | 2012 |
| Slopes as Factors: Characteristic Pure Plays by Back et al. | 33 | Linear factor models | 2013 |
| Stock Return Predictability and Investor Sentiment: A High-Frequency Perspective by Sun et al. | 31 | 2015 | |
| Factor Momentum Everywhere by Gupta and Kelly | 29 | 2018 | |
| The Role of Investability Restrictions on Size, Value, and Momentum in International Stock Returns by Karolyi and Wu | 29 | Linear factor models | 2012 |
| Predicting Stock Returns by Avramov and Chordia | 22 | Linear factor models | 2003 |
| (Re-)Imag(in)ing Price Trends by Jiang et al. | 19 | 2021 | |
| Profitability of Contrarian vs Momentum Strategies: Evidence from the Istanbul Stock Exchange by Bildik and Gülay | 18 | Linear factor models | 2002 |
| Which Risk Factors Matter to Investors? Evidence from Mutual Fund Flows by Barber et al. | 17 | Linear factor models | 2014 |
| Forecasting Stock Returns in Good and Bad Times: The Role of Market States by Huang et al. | 16 | 2012 | |
| Stock Valuation and Investment Strategies by Dong and Chen | 16 | Mathematical derivation | 2001 |
| Momentum Strategies: Evidence from the Pacific Basin Stock Markets by Hameed and Kusnadi | 16 | 2000 | |
| Size, Value, and Momentum in Emerging Market Stock Returns: Integrated or Segmented Pricing? by Hanauer and Linhart | 15 | Linear factor models | 2013 |
| Bimodal Characteristic Returns and Predictability Enhancement via Machine Learning by Han | 13 | 2022 | |
| Industries and Stock Return Reversals by Hameed et al. | 13 | 2010 | |
| Momentum, Contrarian, and the January Seasonality by Yao | 12 | 2010 | |
| Rational Sources of Momentum Profits: Evidence from the Indian Equity Market by Sehgal | 12 | Linear factor models | 2006 |
| The Momentum Gap and Return Predictability by Huang | 9 | 2014 | |
| Asset Pricing When Traders Sell Extreme Winners and Losers by An | 9 | 2013 | |
| Feasible Momentum Strategies in the US Stock Market by Ammann et al. | 9 | Linear factor models | 2010 |
| The Momentum Effect in Country-Level Stock Market Anomalies by Zaremba | 8 | 2019 | |
| Profitable Momentum Trading Strategies for Individual Investors by Foltice and Langer | 8 | 2014 | |
| The Interaction between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics by Schulmeister | 8 | 2010 | |
| Do Hedge Funds Arbitrage Market Anomalies? by Fodor et al. | 8 | Linear factor models | 2008 |
| Option Factor Momentum by Käfer et al. | 7 | Linear factor models | 2023 |
| A comparative study of the MACD-base trading strategies: evidence from the US stock market by Chio | 7 | 2022 | |
| Making Money While You Sleep? Anomalies in International Day and Night Returns by Aretz and Bartram | 7 | Linear factor models | 2015 |
| Under-Reaction to Political Information and Price Momentum by Addoum et al. | 7 | 2014 | |
| A New Option Momentum: The Role of the Systematic Component by Beckmeyer et al. | 6 | Linear factor models | 2023 |
| Scaling Up Market Anomalies by Avramov et al. | 6 | 2019 | |
| Factor Momentum and the Momentum Factor by Ehsani and Linnainmaa | 6 | 2017 | |
| Decomposing Momentum: The Forgotten Component by Büsing et al. | 5 | 2021 | |
| Machine-Learning the Skill of Mutual Fund Managers by Kaniel et al. | 5 | Neural networks | 2021 |
| Momentum, Reversal, and Seasonality in Option Returns by Jones et al. | 5 | 2020 | |
| Beliefs Aggregation and Return Predictability by Kyle et al. | 4 | 2015 | |
| Time-Series Momentum versus Moving Average Trading Rules by Marshall et al. | 4 | 2013 | |
| Market Reaction to an Earnings Shock: A Test of the Conservatism Effect by Alwathainani | 4 | Linear factor models | 2010 |
| Expected Returns and Volatility of Fama-French Factors by Chabi-Yo | 4 | Linear factor models | 2009 |
| Fundamental Information in Technical Trading Strategies by Bonenkamp et al. | 4 | 2008 | |
| Shared Analyst Coverage and Connected-Firm Momentum Spillover in China by Jiang et al. | 3 | 2023 | |
| The Conservative Formula: Quantitative Investing Made Easy by Vliet and Blitz | 3 | 2018 | |
| Performance of International and Global Equity Mutual Funds: Do Country Momentum and Sector Momentum Matter? by Breloer et al. | 3 | Linear factor models | 2011 |
| Comparison in Measuring Effectiveness of Momentum and Contrarian Trading Strategy in Indonesian Stock Exchange by Luxianto | 3 | 2010 | |
| Holistic Factor Management with Analytical Precision by Cheung and Mishra | 3 | 2010 | |
| Optimal Trend Following Trading Rules by Dai et al. | 3 | 2010 | |
| Can Exchange Traded Funds be Used to Exploit Country and Industry Momentum? by Andreu et al. | 3 | Linear factor models | 2008 |
| Intertemporal CAPM with Conditioning Variables by Maio | 3 | Linear factor models | 2007 |
| On Equity and Fixed Income Investing Styles: A Look at Hybrid Mutual Funds by Comer | 3 | 2007 | |
| Identifying Factors within the Apt: A New Approach by Xue | 3 | Linear factor models | 2003 |
| ETF Momentum by Li et al. | 2 | 2019 | |
| Where Has the Trend Gone? An Update on Momentum Returns in the U.S. Stock Market by Dolvin and Foltice | 2 | 2019 | |
| Are the Fama French Factors Treated as Risk? Evidence from CEO Compensation by Bertomeu et al. | 2 | Linear factor models | 2017 |
| Aggregate Mutual Fund Flows and Cross-Sectional Anomalies by Chen | 2 | 2014 | |
| Optimality of Momentum and Reversal by He et al. | 2 | Mathematical derivation | 2014 |
| Investor Attention, Visual Price Pattern, and Momentum Investing by Chen and Yu | 2 | 2013 | |
| Stock Market Integration, Return Forecastability and Implications for Market Efficiency: A Panel Study by Research | 2 | 2007 | |
| Firm Characteristics, Industry and Time Effects, and the Cross-Section of Expected Stock Returns by Bauer et al. | 2 | 2005 | |
| Profitability of Trading Strategies on High-Frequency Data, with Trading Costs by Patnaik and Thomas | 2 | 2004 | |
| Which stock return predictors reflect mispricing? * by Frey | 1 | Linear factor models | 2023 |
| Analysts' Underreaction and Momentum Strategies by Azevedo | 1 | Linear factor models | 2022 |
| Cross-Country Composite Momentum by Müller and Müller | 1 | 2018 | |
| Contrarian and Momentum Investment Strategies in Pakistan Stock Exchange by Shah and Shah | 1 | 2017 | |
| An Experimental Study on Disposition Effect: Psychological Biases, Trading Strategies, and Assets Holding Time by Risfandy and Hanafi | 1 | 2014 | |
| Can Momentum Factors Be Used to Enhance Accounting Information Based Fundamental Analysis in Explaining Stock Price Movements? by Hong and Wu | 1 | State-space models +1 | 2014 |
| Insights on the Global Macro-Finance Interface: Structural Sources of Risk Factors Fluctuations and the Cross-Section of Expected Stock Returns by Morana | 1 | Linear factor models | 2014 |
| Momentum Trading, Return Chasing and Predictable Crashes by Chabot et al. | 1 | 2014 | |
| The Determinants of Risk Premia on the Italian Stock Market: Empirical Evidence on Common Factors in Asset Pricing Models by Brighi et al. | 1 | 2012 | |
| Are Momentum Strategies Still Profitable for U.S. Equity? by Wilson | 1 | Linear factor models | 2011 |
| Stock Return Prediction by History Mapping by Verbiest | 1 | 2011 | |
| It’s All Overreaction: Earning Momentum to Value/Growth by Alwathainani | 1 | Linear factor models | 2010 |
| A Productivity Augmented Capital Asset Pricing Approach to Anomaly Resolution by Moore and Philippatos | 1 | Linear factor models | 2009 |
| Uninformed Momentum Traders by Konukoglu | 1 | 2009 | |
| What Makes Investors Overreact in the Short Run? by Watkins | 1 | 2003 | |
| A Robust Cross-Sectional Attention Premium: Evidence from Wikipedia Pageviews in the Russell 1000 Universe by Han | 0 | Linear factor models | 2026 |
| Anomaly detection in European cryptocurrency exchange-traded products by Kończal and Połoczański | 0 | Tree ensembles | 2026 |
| Do Simple Cross-sectional Trend Strategies Survive Honest Validation? Evidence from a Small US Large-cap Universe, 2020-2024 by Malan | 0 | 2026 | |
| Does Momentum Time Risk Rather Than Returns? by Zakamulin | 0 | Classical time series | 2026 |
| Don't Mix What Should Be Separated: Why Combining Value and Momentum Signals Destroys Alpha by Morales | 0 | 2026 | |
| Factor Betas are Path-Dependent Regression Artifacts: Falsifying Fama-French with 6,560 Controlled Experiments by Burk | 0 | Linear factor models | 2026 |
| Factor Momentum and the Momentum Factor: Evidence from Emerging Markets by Foye | 0 | 2026 | |
| Financial Sustainability and Earnings Integrity: Do Ethical Screens Mitigate Accrual Anomalies? by Halim and Sukor | 0 | State-space models +1 | 2026 |
| Generating Alpha: A Hybrid AI-Driven Trading System Integrating Technical Analysis, Machine Learning and Financial Sentiment for Regime-Adaptive Equity Strategies by Pillai et al. | 0 | Language models +1 | 2026 |
| Half a Momentum: The Cost of Long-Only Constraints in Indian Equity Markets Behavioural Origins, Structural Limitations, and the Case for Long-Short Momentum Strategies by Ahluwalia | 0 | 2026 | |
| Heterogeneity in Overnight-versus-Intraday Stock-Return Behavior with Asymmetric Information and 52-week Price Anchoring by Chen et al. | 0 | Linear factor models | 2026 |
| Hysteresis Rebalancing in Cross-Sectional Momentum: Reducing Boundary Churn and Transaction-Cost Drag in Indian Equities by Pandhe | 0 | 2026 | |
| Information Complexity, Turnover, and the Cross Section of Short-Term Returns by Chen and Sun | 0 | Linear factor models | 2026 |
| Information-cognition-trading: Decomposing Investor Attention and Return Predictability by Song | 0 | Linear factor models | 2026 |
| Linguistic Fragility and Equity Underperformance by Shajee | 0 | Linear factor models | 2026 |
| Momentum Effect in Indian Mid-Cap Equities: Evidence from the NSE Midcap 150 by Nishad | 0 | Linear factor models | 2026 |
| Momentum Factor Construction and Signal Orthogonality: A Mathematical Framework for Systematic Equity Strategies by Pellerano | 0 | 2026 | |
| Narrative Capital and Asset Prices: Search-Based Attention, Portfolio Returns, and Factor Exposure by Saini | 0 | 2026 | |
| One Ticker Deep: The Trend Strategy That Passed Every Test and Still Shouldn't Be Believed by Malan | 0 | 2026 | |
| Out-of-Sample Evaluation of an Intraday Momentum Strategy for the S&P 500 ETF (SPY) by Paz | 0 | 2026 | |
| Recalibrating Rationality: Behavioral Biases, Herding, and Market Anomalies in Post-Pandemic Equity and Credit Markets by Marangattu | 0 | Linear factor models | 2026 |
| Regime-Dependent Price Formation in Indian Equities: Evidence from Factor Information Coefficients and Portfolio Microstructure by Sahi | 0 | Bayesian +2 | 2026 |
| Rethinking Time-Series Momentum in Equity Portfolios: Common Signals, Long-Only Positioning, and No Need for Volatility Timing by Zakamulin | 0 | 2026 | |
| Revisiting Momentum through Dynamic Kernel Learning by Dong and Zhang | 0 | 2026 | |
| Systematic Reversal and Industry Momentum by Gao et al. | 0 | Linear factor models | 2026 |
| Taming the Black Swan: A Momentum-Gated Hierarchical Optimisation Framework for Asymmetric Alpha Generation by Chakraborty and Singh | 0 | 2026 | |
| The Cost of Sector Constraints in Cross-Sectional Momentum: Evidence from the Nifty 500 by Pandhe | 0 | 2026 | |
| The Index Event Horizon: A Chiarella-bouchaud Model for Passive Investing and Market Stability by Kastenholz | 0 | 2026 | |
| The Narrative Factor: A Systematic Approach to Capturing Narrative Alpha from Public Discourse by Reese | 0 | Linear factor models | 2026 |
| The Variance Premium and Seasonal Momentum in Option Returns by Heston et al. | 0 | 2026 | |
| Volume Price Momentum and Volatility a Behavioral Explanation by Lutey et al. | 0 | 2026 | |
| Which Stock Screens Actually Work? A Survivorship-free Audit of 16 Fundamental Metrics — ROIC, Value, Momentum, and Quality — on the S&P 500 (2010–2024) by Brina | 0 | Linear factor models | 2026 |
| Dynamic Momentum Strategies: Return Dispersion and Predictability by Liu et al. | 0 | 2025 | |
| Factor Stability Under Universe Expansion: Evidence from Indian Equities, 2005-2025 by Raju | 0 | Linear factor models | 2025 |
| Market Volatility and Equity Risk Factors: Dynamic Interactions, Implications, and Evidence from India by Dutta and Singh | 0 | Linear factor models | 2025 |
| Skewness-Augmented Risk-Premium Principal Component Analysis by Chen et al. | 0 | Linear factor models | 2025 |
| The Application of Dual-Denoised Momentum Factors in Portfolio Management: A Study of ChiNext Stocks for Retail Investors by Yi | 0 | Neural networks | 2025 |
| Extracting Alpha from Financial Analyst Networks by Gorduza et al. | 0 | Neural networks | 2024 |
| Generative AI for European Asset Pricing: Alleviating the Momentum Anomaly by Mattusch | 0 | Linear factor models | 2024 |
| Mutual fund performance: The model for selecting persistent winners by Mateus et al. | 0 | Linear factor models | 2024 |
| Narrative Momentum by Lee et al. | 0 | 2024 | |
| Non-Linear Factor Returns in the U.S. Equity Market by Clarke et al. | 0 | Linear factor models | 2024 |
| September 2024 Update on the Data Library: Fama-French Factors, Momentum, and Low-Risk Factors for the Indian Market by Raju | 0 | Linear factor models | 2024 |
| Shades of Momentum: Alternative Momentum Metrics and their Dissipation in Indian Equities by Raju | 0 | 2024 | |
| Short sale and stock returns: the case of market efficiency and arbitrage in Nasdaq and NYSE listed companies by Guidi and Maheshwari | 0 | Linear factor models | 2024 |
| A LASSO Type Factor Model in Cryptocurrency by Li and Zhu | 0 | Linear factor models | 2023 |
| Customer Momentum by Pinchuk | 0 | Linear factor models | 2023 |
| Deep Momentum: International Evidence by Han and Qin | 0 | 2023 | |
| Network Momentum across Asset Classes by Xingyue et al. | 0 | 2023 | |
| The cross-section of stock returns around the world in the early twentieth century by Braggion et al. | 0 | 2023 | |
| Watch Your Weight: Navigating Portfolio Weighting Schemes in Indian Momentum Strategies by Raju | 0 | 2023 | |
| A Look Under the Hood of Momentum Funds by Banegas and Rosa | 0 | Linear factor models | 2022 |
| Strategic Complementarity and Substitutability of Investment Strategies by Doskov et al. | 0 | 2022 | |
| A Reexamination of Factor Momentum：How Strong is It？ by Fan et al. | 0 | 2021 | |
| Capacity by Tepper | 0 | 2021 | |
| Cross-sectional Return Predictability in Indian Stock Market: An Empirical Investigation by Goswami | 0 | Linear factor models | 2021 |
| On the performance of volatility-managed equity factors - International and further evidence by Schwarz | 0 | 2021 | |
| Momentum in Short Selling: The Two Faces of Short Sellers by Urbanke | 0 | 2020 | |
| Option Momentum by Heston and Li | 0 | 2020 | |
| Peer Momentum by Misirli et al. | 0 | 2020 | |
| Dissecting Momentum: We Need to Go Deeper by Borisenko | 0 | Neural networks | 2019 |
| Forecast Ranked Tailored Equity Portfolios by Buncic and Stern | 0 | 2019 | |
| Momentum-Managed Equity Factors by Flögel et al. | 0 | 2019 | |
| Concept Momentum in the Chinese Stock Market by Li and Yang | 0 | Linear factor models | 2018 |
| Do Macroeconomics Matter to Chinese Stock Returns? by Chan and Liang | 0 | 2018 | |
| Avoiding Momentum Crashes: Dynamic Momentum and Contrarian Trading by Dobrynskaya | 0 | 2017 | |
| Braintree Momentum Equity Fund by Schill | 0 | 2017 | |
| Is There Momentum in Equity Anomalies? Evidence from an Emerging Market by Zaremba and Szyszka | 0 | 2016 | |
| Momentum Strategies: Profitability and Evaluation of Explanations on the Tunisian Market by Azri and Abaoub | 0 | Linear factor models | 2016 |
| Trading Strategies Based on Past Returns – Evidence from Germany by Schmidt | 0 | 2016 | |
| Trend Following System for Stock Index Trading by Zhang | 0 | 2016 | |
| Institutional Trading Momentum and Mispricing by Bulsiewicz | 0 | 2015 | |
| Tests of Alternative Asset Pricing Models Using Individual Security Returns and a New Multivariate F-Test by Rahman et al. | 0 | Linear factor models | 2015 |
| How Predictable are Returns Out-of-Sample? Evidence from Value and Momentum by Januario | 0 | 2014 | |
| Physical approach to price momentum and its application to momentum strategy by Choi | 0 | Linear factor models | 2014 |
| Quantifying Randomness: A New Model for Momentum Trading by Desai | 0 | 2014 | |
| Are Exogenous Weight Assumptions in Factor Models Harmless? by Saxena | 0 | Linear factor models | 2013 |
| Investigating the Impact of Microeconomic Factors on Stock Returns: Evidence from Borsa Istanbul by Kandir and Arıoğlu | 0 | Linear factor models | 2013 |
| Three Essays on Momentum Returns by Cheema | 0 | Linear factor models | 2013 |
| Currency Risk and Size, Value, and Momentum Returns around the World by Karolyi and Wu | 0 | Linear factor models | 2012 |
| Geographic Momentum by Nguyen | 0 | 2012 | |
| Market Risk and the Momentum Mystery by Kolari and Liu | 0 | 2012 | |
| The Efficiency of Linear Value Models for Stock Selection Across Regions and Sectors by Verbiest | 0 | Linear factor models | 2012 |
| Growth Opportunities, Assets in Place, Stocks Migration and CAPM: A Rational Foundation for the Fama-French and Momentum Factors by Faugère | 0 | Linear factor models | 2011 |
| Investor Sentiment and Momentum and Contrarian Trading Strategies: Mutual Fund Evidence by Cullen et al. | 0 | 2011 | |
| Profitability of an Integrated Mean Reversion-Momentum Strategy: Free Lunch or Compensation for Risk? by Fan and Bianchi | 0 | Classical time series +1 | 2011 |
| Risky Cycles in Stock Price Momentum Strategy Returns by Daniel et al. | 0 | State-space models | 2011 |
| Consumer Sentiment and the Momentum Factor, November 2009 by Inc. | 0 | 2010 | |
| Cross-Sectional Returns in a General Equilibrium: Is There a Momentum? by Choi | 0 | Linear factor models | 2010 |
| Do Mutual Funds Trade Differently at Home and Abroad‘ by Lai et al. | 0 | 2010 | |
| Information Risk and Momentum Anomalies by Hwang and Qian | 0 | Linear factor models | 2010 |
| Day-of-the-Month Effects in the Performance of Momentum Trading Strategies in the Foreign Exchange Market by Harris et al. | 0 | Linear factor models | 2008 |
| Profitability of 52-Week High Momentum Returns in the Global Equity Markets- an Empirical Evidence by Gupta and Locke | 0 | 2008 | |
| Analyst and Momentum in Emerging Markets by Wen | 0 | 2007 | |
| The Impact of Earnings Management on Price Momentum by Woodgate | 0 | Linear factor models | 2006 |
| Firm-Level Business Opportunity, Firm-Level Risk Premium, and Momentum by Zhang | 0 | Linear factor models | 2005 |
| ESG Momentum in International equity returns and the SDG content of financial asset portfolios by Koundouri et al. | 2023 | ||
| NoxTrader: LSTM-Based Stock Return Momentum Prediction for Quantitative Trading by Liu et al. | Neural networks | 2023 | |
| Spatio-Temporal Momentum: Jointly Learning Time-Series and Cross-Sectional Strategies by Tan et al. | Neural networks | 2023 | |
| Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market by Shi and Zhou | 2022 | ||
| Maximum drawdown, recovery, and momentum by Choi | Linear factor models | 2021 | |
| Momentum? What Momentum? by Theissen and Yilanci | 2020 | ||
| On the Returns of Trend-Following Trading Strategies | 2017 | ||
| Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing | Linear factor models | 2015 | |
| Feasible earnings momentum in the U.S. stock market: An investor's perspective | 2015 | ||
| Regional Economic Activity and Stock Returns by Smajlbegovic | 2015 | ||
| Reward-risk momentum strategies using classical tempered stable distribution by Choi et al. | Linear factor models | 2015 | |
| Four Factor Model in Indian Equities Market by Agarwalla et al. | Linear factor models | 2013 | |
| Too Small or Too Low? New Evidence on the 4-Factor Model by Brighi et al. | Linear factor models | 2010 | |
| Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns by Connor et al. | Linear factor models | 2007 |
Papers on momentum in equities from other families
64 papers| filed under | ||
|---|---|---|
| "Do LLM ""Crowds"" Produce Investment Signals? An Empirical Test" by Edwards | News sentiment and text signals | 2026 |
| A Hybrid Momentum-contrarian Portfolio Strategy: Evidence from U.S. Equity Indices (2004-2024) by Hoseini | Short-term reversal | 2026 |
| Causal Momentum: Information Channel Alignment in Network-Based Cross-Sectional Stock Prediction by Shah | Machine learning return prediction | 2026 |
| Cross-Attention Latent Fusion: Integrating DeepSeek-R1 and Mamba for Downside-Aware Quantitative Trading by Jomaa and Jouni | News sentiment and text signals | 2026 |
| Dynamic Factor Allocation via Momentum-Based Regime Switching by Tai et al. | Macro signals and regime strategies | 2026 |
| Factor Investing in Emerging Markets: From Multi-Factor Industry Portfolios to a Market-Neutral Alpha Strategy by Zhang et al. | Factor investing | 2026 |
| Firm Characteristics and the Cross-Sectional Variation in Post-Earnings Announcement Drift by DiPasquale | Event-driven strategies | 2026 |
| Impact of Quantitative Trading Strategies on Portfolio Performance during Market Volatility: Evidence from Indian Markets by Srivastava | Short-term reversal | 2026 |
| Korea Fama-French Factors: An Open Monthly Library with a Verified Construction Pipeline by Woo | Quality and profitability factors | 2026 |
| Sectoral Intramonth Momentum Cycle Exploiting Turn-of-the-Month Patterns in Sector ETF Strategies by Vojtko and Dujava | Seasonality and calendar effects | 2026 |
| Symbolic Regime Laws: Automated Discovery of Time-Varying Alpha Factor Equations via Symbolic Regression by Merlini | Machine learning return prediction | 2026 |
| An Auto-Residual Factor Model by Alkshaik | Size premium | 2025 |
| Breaks and Trends in Factor Premia by Cui et al. | Factor investing | 2025 |
| ChatGPT in Systematic Investing -- Enhancing Risk-Adjusted Returns with LLMs by Anic et al. | News sentiment and text signals | 2025 |
| Factor Investing Lecture 14: Factor Failure (Presentation Slides) by Shi | Factor investing | 2025 |
| Momentum factor investing: Evidence and evolution by van Vliet et al. | Factor investing | 2025 |
| Timing Indian Equity Factors: Structural vs. Revaluation Signals by Raju | Factor investing | 2025 |
| Identifying Risk Factor Regimes with Machine Learning: Implications for Tactical Asset Allocation by Sadik | Market timing and tactical asset allocation | 2024 |
| An Intangibles-Adjusted Profitability Factor by Jagannathan et al. | Quality and profitability factors | 2023 |
| Decoding the Unique Price Behavior in the Japanese Stock Market with Convolutional Neural Networks by Okada et al. | Machine learning return prediction | 2023 |
| Expanding the Fama-French Factor Model with the Industry Beta by Schmidt | News sentiment and text signals | 2023 |
| RIM-Based Value Premium and Factor Pricing Using Value-Price Divergence by Cong et al. | Value investing | 2023 |
| Timing the Market with a Combination of Moving Averages by Glabadanidis | Quality and profitability factors | 2023 |
| Excess Discount Return. A Comparative Study of UK Investment Trusts and US Closed-End Funds by Guirguis | Value investing | 2021 |
| Rethinking Tactical Asset Allocation: Using ETFs for Quantitative and Systematic Allocation Between Equity and Fixed-Income Sectors by Kaldor et al. | Market timing and tactical asset allocation | 2021 |
| Backtesting ESG Factor Investing Strategies by Hanicova and Vojtko | Factor investing | 2020 |
| Mathematical Problems in Algorithmic Trading and Financial Regulation by Wang | Market making | 2020 |
| Buzzwords Build Momentum: Global Financial Twitter Sentiment and the Aggregate Stock Market by Groß-Klußmann et al. | News sentiment and text signals | 2019 |
| Factor Investing from Concept to Implementation by van Gelderen et al. | Factor investing | 2019 |
| A New Partial-Segmentation Approach to Modeling International Stock Returns by Karolyi and Wu | Factor investing | 2018 |
| Want Smart Beta? Follow the Smart Money: Market and Factor Timing Using Relative Sentiment by Micaletti | Factor investing | 2018 |
| A Market Neutral Statistical Arbitrage Trading Model by Larsson et al. | Pairs trading and statistical arbitrage | 2017 |
| Return Predictability in Santiago Stock Exchange: An Empirical Analysis Using Portfolio Method by Elias et al. | Value investing | 2017 |
| Testing Momentum Effect for the US Market: From Equity to Option Strategies by Siri et al. | Options trading strategies | 2017 |
| A Comparison of the Efficacy of Liquidity, Momentum, Size and Book-to-Market Value Factors in Equity Pricing on a Heterogeneous Sample: Evidence from Asia by Hearn | Value investing | 2016 |
| Stock Market Anomalies and Baseball Cards by Engelberg et al. | Event-driven strategies | 2016 |
| Earnings Forecasting in a Global Stock Selection Model and Efficient Portfolio Construction and Management by Guerard et al. | Factor investing | 2015 |
| Extreme Events in Stock Market Fundamental Factors by Gualtieri and Sizova | Value investing | 2015 |
| Foundations of Factor Investing by Bender et al. | Factor investing | 2015 |
| How Smart are 'Smart Beta' ETFs? Analysis of Relative Performance and Factor Exposure by Glushkov | Factor investing | 2015 |
| Inter-Temporal Risk Parity: A Constant Volatility Framework for Factor Investing by Perchet et al. | Portfolio optimization | 2014 |
| Momentum, Markowitz, and Smart Beta: A Tactical, Analytical and Practical Look at Modern Portfolio Theory by Keller | Portfolio optimization | 2014 |
| Academic Knowledge Dissemination in the Mutual Fund Industry: Can Mutual Funds Successfully Adopt Factor Investing Strategies? by van Gelderen and Huij | Factor investing | 2013 |
| GDP Mimicking Portfolios and the Cross-Section of Stock Returns by Kroencke et al. | Value investing | 2013 |
| Multifactor Asset Pricing Models and Industry Portfolio Investment Strategies by Shank | Factor investing | 2013 |
| The Size Effect in Value and Momentum Factors: Implications for the Cross-Section of International Stock Returns by Atanasov and Nitschka | Size premium | 2013 |
| Equity Anomalies Around the World by Fan | Value investing | 2012 |
| Investing in Stock Market Anomalies by Bali et al. | Short-term reversal | 2011 |
| Diversified Statistical Arbitrage: Dynamically Combining Mean Reversion and Momentum Strategies by Velissaris | Pairs trading and statistical arbitrage | 2010 |
| Do Five Asset Pricing Anomalies Share a Common Mispricing Factor? Multifaceted Empirical Analyses of Failure Risk Proxies, External Financing, and Stock Returns by Ogden and Fitzpatrick | Value investing | 2010 |
| Momentum – Reversal Strategy by Yu and Chen | Short-term reversal | 2010 |
| Orthogonalized Equity Risk Premia and Systematic Risk Decomposition | Factor investing | 2010 |
| The Cross-Section of German Stock Returns: New Data and New Evidence by Artmann et al. | Value investing | 2010 |
| Empirical Investigation of an Equity Pairs Trading Strategy by Chen et al. | Pairs trading and statistical arbitrage | 2009 |
| The Effect of Market Regimes on Style Allocation by Ammann and Verhofen | Value investing | 2009 |
| Volatility Risk Premium, Risk Aversion and the Cross-Section of Stock Returns by Nyberg and Vilhelmsson | Volatility risk premium | 2008 |
| A Mean-Variance Capital Asset Pricing Model for Long Short Equity Hedge Fund Portfolios by Hampton | Pairs trading and statistical arbitrage | 2007 |
| Can a Realistically Constrained Fund Manager Beat the Benchmark Index Using Anomaly-Based Strategies? by McKeon | Value investing | 2007 |
| CAPM and Time-Varying Beta: The Cross-Section of Expected Returns by Basu and Stremme | Value investing | 2007 |
| International Factor Linkages by Lee et al. | Pairs trading and statistical arbitrage | 2007 |
| Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays by Garofalo and Sansone | Market making | 2006 |
| Trading Strategy Performance When Using Value at Risk or Expected Shortfall as a Risk Constraint by Visaltanachoti and Yan | Short-term reversal | 2002 |
| A Conditional Multifactor Analysis of Return Momentum by Wu | Factor investing | 2001 |
| Can Book-to-Market, Size, and Momentum Be Risk Factors that Predict Economic Growth? by Liew and Vassalou | Value investing | 1999 |