We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive … returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the … momentum-sorted portfolios entirely but not the reverse. Thus, momentum can be considered an imperfect proxy for acceleration …

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …

across assets. Fluctuations in asset managers' capital invested for benchmarking purposes, scaled by the size of the economy … return predictability, generating both reversal and momentum …

This paper offers theoretical, empirical, and simulated evidence that momentum regularities in asset prices are not … in the loser portfolios after (large) increases in the price of risk. Hence, the risk of momentum portfolios usually … of risk (and the market premium) theoretically truncated at zero. The best linear (CAPM) function describing this …

theoretical, empirical, and simulated evidence that the stylized facts involving momentum are consistent with traditional risk … determines the risk of momentum portfolios, decreases with the price of risk. Hence, their premiums are approximately negative … quadratic functions of the price of risk, theoretically truncated at zero. The best linear (CAPM) function describing this …