This is a summary of links featured on Quantocracy on Thursday, 01/07/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Value and Momentum and Investment Anomalies [Alpha Architect]The predictive abilities of value and momentum strategies are among the strongest and most pervasive empirical findings in the asset pricing literature. (here is a deep dive) For example, the study Value and Momentum Everywhere by Clifford Asness, Tobias Moskowitz and Lasse Pedersen, published in the June 2013 issue of The Journal of Finance, examined these two factors across eight different