The cross-section of stock returns around the world in the early twentieth century
A 2023 paper by Braggion, Driessen and Moore on momentum and trend following in equities: the abstract mentions excess returns and an out-of-sample test and leaves out a benchmark, transaction costs, multiple testing and the size of the universe.
“We also find evidence for the size effect, betting-against-beta, and the outperformance of low volatility stocks, whereas we find mixed evidence of short-term reversal.”
AssetEquitiessingle stocks
StrategyMomentumshort-term reversal
ClaimExcess return
Also stated: out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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The paper's neighbourhoodMomentum and trend following by year
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