growth in some of the countries examined. Our results support a risk-based explanation for the performance of the HML and SMB …

term prospects and those only." The analysis explains accommodation and trend chasing strategies as well as momentum and …

We propose a rational theory of momentum and reversal based on delegated portfolio management. A competitive investor … can invest through an index fund or an active fund run by a manager with unknown ability. Following a negative cashflow … shock to assets held by the active fund, the investor updates negatively about the manager's ability and migrates to the …

Value and momentum portfolios exhibit strong opposite signed exposure to an aggregate risk factor based on low … variation in average returns on size-book/market portfolios and up to 95% of momentum returns and the pricing errors on both … theories. We show that opposite signed exposure to capital share risk coincides with opposite signed exposure of value and …

informed trading, suggesting that risk sharing is the most plausible explanation for the reduction in the cost of equity …

of risk and return of one of the most popular mechanical trading strategies—momentum. We find that the momentum strategy … the return on that money has an incentive to remain invested in momentum even when the crash risk is known to be high. … has earned abnormally high risk-adjusted returns—a three factor alpha of 1 percent per month between 1927 and 2012 and 0 …

-of-sample test of the performance of carry, momentum and value strategies well documented in the modern era. We find that the … positive carry and momentum returns in currencies over the last thirty years are also present in this earlier period. In … contrast, the returns to a simple value strategy are negative. In addition, we benchmark the rules-based carry and momentum …

momentum strategies. We construct domestic and global factors from a large dataset of macroeconomic and financial variables and … consumption variables drive dollar carry trade payoffs and momentum returns are driven by global commodity and U.S. inflation … value to a risk-averse investor with mean-variance preferences. …

important international football matches. We examine goal-scoring from 1960 onwards in full 'A' international matches of six …