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Value and Momentum Leftovers

https://doi.org/10.2139/ssrn.5346558
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Outgoing claims: the papers this work cites, builds on, or argues with.

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An examination of momentum strategies in commodity futures markets
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Momentum strategies in commodity futures markets
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Average correlation and stock market returns
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Disagreement and return predictability of stock portfolios
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Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios
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Investor attention, psychological anchors, and stock return predictability
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Betting against beta
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Short interest and aggregate stock returns
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Intermediary asset pricing: New evidence from many asset classes
inferredcites →https://doi.org/10.1016/j.jfineco.2017.11.002openalex-snapshot
Carry
inferredcites →https://doi.org/10.1016/j.jfineco.2018.09.006openalex-snapshot
Bear beta
inferredcites →https://doi.org/10.1016/j.jfineco.2019.03.003openalex-snapshot
Average skewness matters
inferredcites →https://doi.org/10.1016/j.jfineco.2019.06.008openalex-snapshot
Shrinking the cross-section
inferredcites →https://doi.org/10.1016/s0304-405x(00)00056-8openalex-snapshot
Can book-to-market, size and momentum be risk factors that predict economic growth?
inferredcites →https://doi.org/10.1017/s0022109020000824openalex-snapshot
A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes
inferredcites →https://doi.org/10.1046/j.1540-6261.2003.00614.xopenalex-snapshot
Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole
inferredcites →https://doi.org/10.1086/260061openalex-snapshot
Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1086/296344openalex-snapshot
Economic Forces and the Stock Market
inferredcites →https://doi.org/10.1086/374184openalex-snapshot
Liquidity Risk and Expected Stock Returns
inferredcites →https://doi.org/10.1086/497416openalex-snapshot
Macromomentum: Returns Predictability in International Equity Indices*
inferredcites →https://doi.org/10.1086/714090openalex-snapshot
Asset Pricing with Omitted Factors
inferredcites →https://doi.org/10.1093/qje/qjaa009openalex-snapshot
Financial Market Risk Perceptions and the Macroeconomy*
inferredcites →https://doi.org/10.1093/qje/qjw024openalex-snapshot
Measuring Economic Policy Uncertainty*
inferredcites →https://doi.org/10.1093/restud/rdaa019openalex-snapshot
U.S. Monetary Policy and the Global Financial Cycle
inferredcites →https://doi.org/10.1093/rfs/14.2.313openalex-snapshot
The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers
inferredcites →https://doi.org/10.1093/rfs/hhaa020openalex-snapshot
Factors That Fit the Time Series and Cross-Section of Stock Returns
inferredcites →https://doi.org/10.1093/rfs/hhaa111openalex-snapshot
Thousands of Alpha Tests
inferredcites →https://doi.org/10.1093/rfs/hhad049openalex-snapshot
Currency Risk Premiums Redux
inferredcites →https://doi.org/10.1093/rfs/hhae044openalex-snapshot
A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction
inferredcites →https://doi.org/10.1093/rfs/hhg044openalex-snapshot
Risks and Portfolio Decisions Involving Hedge Funds
inferredcites →https://doi.org/10.1093/rfs/hhm014openalex-snapshot
A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
inferredcites →https://doi.org/10.1093/rfs/hhn087openalex-snapshot
Time-Varying Risk Premiums and the Output Gap
inferredcites →https://doi.org/10.1093/rfs/hhp008openalex-snapshot
Expected Stock Returns and Variance Risk Premia
inferredcites →https://doi.org/10.1093/rfs/hhp081openalex-snapshot
Macro Factors in Bond Risk Premia
inferredcites →https://doi.org/10.1093/rfs/hhr068openalex-snapshot
Common Risk Factors in Currency Markets
inferredcites →https://doi.org/10.1093/rfs/hhu039openalex-snapshot
Tail Risk and Asset Prices
inferredcites →https://doi.org/10.1093/rfs/hhw101openalex-snapshot
Which Alpha?
inferredcites →https://doi.org/10.1093/rof/rfae038openalex-snapshot
Empirical determinants of momentum: a perspective using international data
inferredcites →https://doi.org/10.1093/rof/rfs019openalex-snapshot
The Fundamentals of Commodity Futures Returns
inferredcites →https://doi.org/10.1093/rof/rfs025openalex-snapshot
The “Fed Model” and the Predictability of Stock Returns
inferredcites →https://doi.org/10.1111/0022-1082.00077openalex-snapshot
Investor Psychology and Security Market Under‐ and Overreactions
inferredcites →https://doi.org/10.1111/0022-1082.00184openalex-snapshot
A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets
inferredcites →https://doi.org/10.1111/0022-1082.95722openalex-snapshot
International Momentum Strategies
inferredcites →https://doi.org/10.1111/1468-0262.00273openalex-snapshot
Determining the Number of Factors in Approximate Factor Models
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04702.xopenalex-snapshot
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
inferredcites →https://doi.org/10.1111/j.2517-6161.1995.tb02031.xopenalex-snapshot
Controlling the False Discovery Rate: A Practical and Powerful Approach to Multiple Testing
inferredcites →https://doi.org/10.1111/j.2517-6161.1996.tb02080.xopenalex-snapshot
Regression Shrinkage and Selection Via the Lasso
inferredcites →https://doi.org/10.1111/jofi.12021openalex-snapshot
Value and Momentum Everywhere
inferredcites →https://doi.org/10.1111/jofi.12083openalex-snapshot
Noise as Information for Illiquidity
inferredcites →https://doi.org/10.1111/jofi.13249openalex-snapshot
Is There a Replication Crisis in Finance?
inferredcites →https://doi.org/10.1146/annurev-financial-101521-104735openalex-snapshot
Factor Models, Machine Learning, and Asset Pricing
inferredcites →https://doi.org/10.1162/rest_a_00043openalex-snapshot
Determining the Number of Factors from Empirical Distribution of Eigenvalues
inferredcites →https://doi.org/10.1198/073500102288618487openalex-snapshot
Dynamic Conditional Correlation
inferredcites →https://doi.org/10.1214/aos/1176349025openalex-snapshot
Bootstrap and Wild Bootstrap for High Dimensional Linear Models
inferredcites →https://doi.org/10.1257/aer.20191823openalex-snapshot
Measuring Geopolitical Risk
inferredcites →https://doi.org/10.1257/aer.20201220openalex-snapshot
An Alternative Explanation for the “Fed Information Effect”
inferredcites →https://doi.org/10.1257/aer.97.1.89openalex-snapshot
The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk
inferredcites →https://doi.org/10.2307/1913610openalex-snapshot
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
inferredcites →https://doi.org/10.2307/1913625openalex-snapshot
A Test of the Efficiency of a Given Portfolio
inferredcites →https://doi.org/10.2307/1913811openalex-snapshot
An Intertemporal Capital Asset Pricing Model
inferredcites →https://doi.org/10.2307/2532163openalex-snapshot
Two Guidelines for Bootstrap Hypothesis Testing
inferredcites →https://doi.org/10.2307/2676188openalex-snapshot
Profitability of Momentum Strategies in the International Equity Markets
inferredcites →https://doi.org/10.2469/faj.v62.n2.4084openalex-snapshot
The Strategic and Tactical Value of Commodity Futures
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