Style Investing, Comovement and Return Predictability
A 2008 paper by Wahal and Yavuz on momentum and trend following: the abstract mentions alpha and t-statistics and leaves out a benchmark, an out-of-sample test, transaction costs, multiple testing and the size of the universe.
“The magnitude of the improvement in three-factor alphas from traditional momentum strategies (Jegadeesh and Titman, 1993, 2001) is remarkably large, almost 5 percent per year.”
StrategyMomentummachine learning
ClaimAlphat-statistic
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
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