This is a summary of links featured on Quantocracy on Tuesday, 03/27/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Risk-Based Explanations for the Momentum Premium [Alpha Architect]Most of the literature on the momentum factor has focused on behavioral explanations, generally either investor underreaction or overreaction. For example, in his paper Explanations for the Momentum Premium, Yale University professor Tobias Moskowitz points out: Underreaction results from information traveling slowly into prices. That causes momentum. For example, there is ample evidence