This is a summary of links featured on Quantocracy on Saturday, 06/04/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Short-term Momentum [Alpha Architect]Momentum, the tendency of past winner stocks to outperform past loser stocks over the next several months, is one of the most well-documented and well-researched asset pricing anomalies. In the asset pricing literature, momentum is generally defined over the short-, medium- and long-term in the following manner: Short-term reversals are defined as the prior months (t 1) return. Medium-term