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Academic Research
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.
- Some A Posteriori Probabilities in Stock Market Action (July, 1937)
- Alfred Cowles III and Herbert E. Jones
- A Quantitative Approach to Tactical Asset Allocation (May, 2006)
- Mebane T. Faber
- On the Nature and Origins of Trend Following
- Stig Ostgaard
- Alfred Cowles and Robert Rhea on the Predictability of Stock Prices (September, 2010)
- Robert W. Dimand and William Veloce
- 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)
- Andrew W. Lo
- Patterns in Three Centuries of Stock Market Prices (April, 1993)
- William N. Goetzmann
- Time Series Momentum (September, 2011)
- Tobias Moskowitz, Yao Hua Ooi, and Lasse H. Pedersen
- Time-Series Momentum and Moving Average Trading Rules (December, 2014)
- Ben R. Marshall, Nhut H. Nguyen, and Nuttawat Visaltanachoti
- 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)
- Narasimhan Jegadeesh and Sheridan Titman
- Value and Momentum Everywhere (February, 2009)
- Clifford S. Asness, Tobias J. Moskowitz, and Lasse H. Pedersen
- 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)
- Amos Tversky and Daniel Kahneman
- 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)
- Eugene F. Fama and Kenneth R. French
- Parallels Between the Cross-Sectional Predictability of Stock and Country Returns (January 1997)
- Cliff S. Asness, John M. Liew, and Ross L. Stevens
- International Momentum Strategies (February, 1998)
- K. Geert Rouwenhorst
- A Model of Investor Sentiment (February, 1997)
- Nicholas Barberis, Andrei Shleifer, and Robert W. Vishny
- On Persistence in Mutual Fund Performance (March, 1997)
- Mark M. Carhart
- Momentum Strategies (December, 1997)
- Louis K. C. Chan, Narasimhan Jegadeesh, and Josef Lakonishok
- Investor Psychology and Security Market Under- and Oveverractions (December, 1998)
- Kent Daniel, David Hirshleifer, and Avanidhar Subrahmanyam
- The Disposition Effect and Underreaction to News (August, 2006)
- Andrea Frazzini
- Global Momentum Strategies: A Portfolio Perspective (July, 2004)
- John M. Griffin, Xiuqing Ji, and J. Spencer Martin
- Prospect Theory, Mental Accounting, and Momentum (August, 2004)
- Mark Grinblatt and Bing Han
- Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing (2000)
- Bruce D. Grundy and J. Spencer Martin
- A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets (December, 1999)
- Harrison Hong and Jeremy C. Stein