The interaction of value and momentum strategies

Financial Analysts Journal

Volumn 53, Issue 2, 1997, Pages 29-36

  Asness, Clifford S ^a  

^a Goldman Sachs Group   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0038992356     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v53.n2.2069     Document Type: Article

References (10)

1. Asness, C. 1995. "The Power of Past Stock Returns to Explain Future Stock Returns." Working paper, Goldman Sachs Asset Management.
2. Asness, C., and R. Stevens. 1995. "Intra- and Interindustry Variation in the Cross-Section of Expected Stock Returns." Working paper, Goldman Sachs Asset Management.
3. Black, Fischer. 1993. "Return and Beta." Journal of Portfolio Management, vol. 20, no. 1 (Fall):8-18.
4. Fama, Eugene F., and Kenneth R. French. 1992. "The Cross-Section of Expected Returns." Journal of Finance, vol. 47, no. 2 (June):427-65.
5. _. 1993. "Common Risk Factors in the Returns on Stocks and Bonds." Journal of Financial Economics, vol. 33, no. 1 (February):3-56.
6. _. 1994a. "Industry Cost of Equity." Working paper, University of Chicago (July).
7. _. 1994b. "Multifactor Explanations of Asset Pricing Anomalies." Working paper, University of Chicago (July).
8. Haugen, Robert A. 1995. The New Finance: The Case against Efficient Markets. Englewood Cliffs, NJ: Prentice Hall.
9. Jegadeesh, Narasimhan, and Sheridan Titman. 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency." Journal of Finance, vol. 48, no. 1 (March):65-91.
10. Lakonishok, Josef, Andrei Shleifer, and Robert W. Vishny. 1994. "Contrarian Investment, Extrapolation, and Risk." Journal of Finance, vol. 49, no. 5 (December):1541-78.