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 … expected to continue, leading to momentum. Because outflows push prices below fundamental values, expected returns eventually …

Value and momentum portfolios exhibit strong opposite signed exposure to an aggregate risk factor based on low … momentum to the income shares of households in the top 10 versus bottom 90 percent of the stock wealth distribution. We use a … variation in average returns on size-book/market portfolios and up to 95% of momentum returns and the pricing errors on both …

of risk and return of one of the most popular mechanical trading strategies—momentum. We find that the momentum strategy ….5 percent per month between 1867 and 1907—both statistically significantly different from zero. However, the momentum strategy … also exposed investors to large losses (crashes) during both periods. Momentum crashes were predictable. Crashes were more …

-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 …