Proper research is the foundation of any successful investment strategy. Here you will find a
selection of journal articles and research papers that we found helpful in developing our Investment
Models.
We are indebted to each and every one of these researchers for their work on the subject of investing. Were
it not for the foundation of knowledge laid down by these men and women, investors today would still be
stumbling around in the dark.
Alfred Cowles III and Herbert E. Jones
Some A Posteriori Probabilities in Stock Market Action (July, 1937)Alfred Cowles III
A Revision of Previous Conclusions Regarding Stock Price Behavior (October, 1960)Mebane T. Faber
A Quantitative Approach to Tactical Asset Allocation (May, 2006)Stig Ostgaard
On the Nature and Origins of Trend FollowingRobert W. Dimand and William Veloce
Alfred Cowles and Robert Rhea on the Predictability of Stock Prices (September, 2010)Andrew W. Lo
Efficient Markets Hypothesis (2007)Andrew W. Lo
The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective (August, 2004)Andrew W. Lo
Long-Term Memory in Stock Market Prices (May, 1989)William N. Goetzmann
Patterns in Three Centuries of Stock Market Prices (April, 1993)Tobias Moskowitz, Yao Hua Ooi, and Lasse H. Pedersen
Time Series Momentum (September, 2011)Ben R. Marshall, Nhut H. Nguyen, and Nuttawat Visaltanachoti
Time-Series Momentum and Moving Average Trading Rules (December, 2014)Narasimhan Jegadeesh and Sheridan Titman
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (March, 1993)Narasimhan Jegadeesh and Sheridan Titman
Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (June, 1999)Clifford S. Asness, Tobias J. Moskowitz, and Lasse H. Pedersen
Value and Momentum Everywhere (February, 2009)Relative Strength as a Criterion for Investment Selection (December, 1967)
Robert A. LevyAmos Tversky and Daniel Kahneman
Judgment Under Uncertainty: Heuristics and Biases (September, 1974)Amos Tversky and Daniel Kahneman
The Framing of Decisions and the Psychology of Choice (January, 1981)Amos Tversky and Daniel Kahneman
Prospect Theory: An analysis of Decision Under Risk (March, 1979)Eugene F. Fama and Kenneth R. French
Multifactor Explanations of Asset Pricing Anomalies (March, 1996)Eugene F. Fama and Kenneth R. French
Dissecting Anomalies (June, 2007)Eugene F. Fama and Kenneth R. French
The Cross-Section of Expected Stock Returns (June, 1992)Cliff S. Asness, John M. Liew, and Ross L. Stevens
Parallels Between the Cross-Sectional Predictability of Stock and Country Returns (January 1997)K. Geert Rouwenhorst
International Momentum Strategies (February, 1998)Nicholas Barberis, Andrei Shleifer, and Robert W. Vishny
A Model of Investor Sentiment (February, 1997)Mark M. Carhart
On Persistence in Mutual Fund Performance (March, 1997)Louis K. C. Chan, Narasimhan Jegadeesh, and Josef Lakonishok
Momentum Strategies (December, 1997)Kent Daniel, David Hirshleifer, and Avanidhar Subrahmanyam
Investor Psychology and Security Market Under- and Oveverractions (December, 1998)Andrea Frazzini
The Disposition Effect and Underreaction to News (August, 2006)Global Momentum Strategies: A Portfolio Perspective (July, 2004)
John M. Griffin, Xiuqing Ji, and J. Spencer MartinMark Grinblatt and Bing Han
Prospect Theory, Mental Accounting, and Momentum (August, 2004)Bruce D. Grundy and J. Spencer Martin
Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing (2000)Harrison Hong and Jeremy C. Stein
A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets (December, 1999)