This paper by Asness, Porter & Stevens (2000) examines return measures when explanatory variables into two industry-related components; within-industry variables and across-industry variables. This paper helps explain why Atlas uses short-term momentum within sectors, but short-term reversal within individual securities. It also elucidates the rationale for scoring momentum and value “within” sectors rather than across them.
Zhi Da, Qianqiu Liu, and Ernst Schaumburg (2013) detail the empirical reasoning behind the observation that stocks that have done VERY poorly over a short term horizon, tend to do better over the subsequent periods.
This 1981 paper by Rolf Banz finds that smaller firms have had higher risk adjusted returns, on average, than larger firms.
This well-known 1992 paper by Eugene Fama and Ken French puts forward a model explaining US equity market returns with three factors: “the “market” (based on the traditional CAPM model), the size factor (small vs. large capitalization stocks) an the value factor (high vs. low book-to-market).
This 2009 paper by Fraulo and Nguyen looks at the debate over whether momentum is a industry or a individual stock dynamic. The jury is still out. At Atlas we use both as a factors.
This 1997 piece by Mark Carhart suggests that funds with high returns last year have higher-than-average expected returns next year, but not in years thereafter. This work has been an important add-on to the Fama and French model, showing momentum to be a key factor contributing to stock outperformance. It also shows that the investment costs of expense ratios, transaction costs, and load fees all have a direct, negative impact on performance.
This 1993 paper by Narashimhan Jegadeesh and Sheridan Titman documents that momentum strategies, which buy stocks that have performed well in the past and sell stocks that have performed poorly in the past, generate significant positive returns over 3- to 12-month holding periods.
This 2014 paper by Asness, Frazzini, Israel and Moskowitz reviews the academic discovery of momentum investing. They highlight ten myths about momentum and refute them, using results from widely circulated academic papers and analysis from the simplest and best publicly available data.
This 2013 article by Asness, Moskowitz and Pedersen finds consistent value and momentum return premia across eight diverse markets and asset classes. Also shows is that value and momentum are negatively correlated with each other, both within and across asset classes.