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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

  • Israel, R., Kang, J. and Richardson, S. Investing with Style in Corporate Bonds (2015). SSRN
  • Houweling, P. and Van Zundert, J. Factor Investing in the Corporate Bond Market (2014). SSRN

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