these two effects, we devise an empirical strategy that allows us to compute the component of daily returns associated with …

We show that stock prices underreact when there is a political event, reflected in higher momentum returns. We … specific news. We analyze momentum returns following general election day, and find 8.8% increase in momentum portfolio return …

We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 …), value (HML), and momentum (UMD) factors. As a result, RAMOM returns have a natural, built-in exposure to the MKT, HML, and …