Equity Trend Following Strategies are Shams – with Podcast Show Notes
Equity Trend Following Strategies are Shams
ap Gwilym, Owain, Andrew Clare, James Seaton, and Stephen Thomas. “Price and Momentum as Robust Tactical Approaches to Global Equity Investing.” Journal of Investing, 19, 80-92.
Frazzini, Andrea, Ronen Israel, and Tobias Moskowitz. “Trading Costs of Asset Pricing Anomalies,” Working Paper, AQR Capital Management.
Fung, William and David A. Hsieh. “Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds.” Review of Financial Studies, 10, 275-302.
Hutchinson, Mark C. and John J. O’Brien. “Is This Time Different? Trend-Following and Financial Crises.” Journal of Alternative Investments, 17, 82-102.
Jusselin, Paul, Edmond Lezmi, Hassan Malongo, Côme Masselin, Thierry Roncalli, and Tung-Lam Dao. “Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies.” Available at SSRN.com.
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