Stock Valuation and Investment Strategies
“Indeed, if one would hold an equally-weighted portfolio of stocks that are the most underpriced and that have top momentum, the average monthly return from 1979 to 1996 would have been 3.18 percent, with a monthly Jensen's alpha of about 1.5 percent.”
AssetEquities
StrategyMomentum
TechniqueMathematical derivation
FrequencyMonthly
Also stated: 1979–1996, 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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