All Asset Classes
- Ahmerkamp, J. and Grant, J. The Returns to Carry and Momentum Strategies (2013). SSRN
- Asness, C., Moscowitz, T. and Pedersen, L. Value and Momentum Everywhere (2012). SSRN
Equity
- Jacobs, H. and Muller, S. Anomalies across the globe: Once public, no longer existent? (2016). SSRN
- Gualtieri, J. and Sizova, N. Extreme Events in Stock Market Fundamental Factors (2015). SSRN
- Pelger, M. Understanding Systematic Risk: A High-Frequency Approach (2015). SSRN
- Lambert, M., Fays, B. and Hubner, G. Size and Value Matter, But Not the Way You Thought (2015). SSRN
- Kakushadze, Z. 4-Factor Model for Overnight Returns (2014). SSRN
- Cakici, N. and Tan, S. Size, Value, and Momentum in Developed Country Equity Returns: Macroeconomic and Liquidity Exposures (2013). SSRN
- Jensen-Gaard, C. and Risager, O. Equity Investment Styles: Recent evidence on the existence and cyclicality of investment styles (2013). Link
- Konrad, J. and Yavuz, M. Momentum and Reversal: Does What Goes Up Always Come Down? (2012) SSRN
- Yu, H. and Chen, L. Momentum - Reversal strategy (2010). Link
Currency
- Grobys, K. and Hienonen, J. Is there a credit risk anomaly in FX markets? (2015) SSRN
- Clare, A. et. al. Carry and Trend Following Returns in the Foreign Exchange Market (2015). SSRN
- Amen, S. Beta'em Up: What is Market Beta in FX? (2014) SSRN
- Accominotti, O. and Chambers, D. Out-of-Sample Evidence on the Returns to Currency Trading (2013). SSRN
- Kroencke, T., Schindler, F. and Schrimpf, A. International Diversification Benefits with Foreign Exchange Investment Styles (2011). SSRN
Fixed income