Momentum in individual stock returns emanates from momentum in factor returns. Most factors are positively autocorrelated: the average factor earns a monthly return of 1 basis point following a year of losses and 53 basis points following a positive year. Factor momentum explains all forms of...

Momentum in individual stock returns emanates from momentum in factor returns. Most factors are positively autocorrelated: the average factor earns a monthly return of 6 basis points following a year of losses and 51 basis points following a positive year. We find that factor momentum...

The low variance (LV) strategy always bets against the volatile leg of common factor-portfolios. The risk of the strategy, measured by factor exposures, is thus perfectly predictable based on the status of factor portfolio variances during the formation period. I find that the strategy earns...

Global equity risk factors that are constructed by sorting stocks on firm characteristics associated with expected returns contain embedded region and sector exposures. We show that these positions lead to uncompensated volatility. Hedging out both region and sector exposures simultaneously...

This note describes in detail the methodology to calculate returns in the secondary corporate loan market. It is provided as a supplementary note to "The cross-section of expected returns in the secondary corporate loan market."

Momentum in individual stock returns emanates from momentum in factor returns. Most factors are positively autocorrelated: the average factor earns a monthly return of 1 basis point following a year of losses and 53 basis points following a positive year. Factor momentum explains all forms of...