Statistical methods
- Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint DetectionKieran Wood, Stephen Roberts and Stefan ZohrenThe Journal of Financial Data Science December 2021, jfds.2021.1.081; DOI: https://doi.org/10.3905/jfds.2021.1.081
- Quantifying Long-Term Market ImpactCampbell R. Harvey, Anthony Ledford, Emidio Sciulli, Philipp Ustinov and Stefan ZohrenThe Journal of Portfolio Management December 2021, jpm.2021.1.324; DOI: https://doi.org/10.3905/jpm.2021.1.324
- Finding Value Using MomentumBijon Pani and Frank J. FabozziThe Journal of Portfolio Management July 2021, jpm.2021.1.272; DOI: https://doi.org/10.3905/jpm.2021.1.272
- Latent Factors in Equity Returns: How Many Are There and What Are They?Ross FrenchThe Journal of Portfolio Management October 2021, jpm.2021.1.296; DOI: https://doi.org/10.3905/jpm.2021.1.296
- Investing in US Core Fixed Income with Macro and Style FactorsEugene Pauksta, Karishma Kaul, Tom Parker, Scott Radell and Andrew AngThe Journal of Portfolio Management November 2021, jpm.2021.1.309; DOI: https://doi.org/10.3905/jpm.2021.1.309
- The Quant CycleDavid BlitzThe Journal of Portfolio Management November 2021, jpm.2021.1.304; DOI: https://doi.org/10.3905/jpm.2021.1.304
- Zero Black-Derman-Toy Interest Rate ModelGrzegorz Krzyżanowski, Ernesto Mordecki and Andrés SosaThe Journal of Fixed Income November 2021, jfi.2021.1.122; DOI: https://doi.org/10.3905/jfi.2021.1.122
- Cross-Sectional and Time-Series Momentum in the US Sovereign Bond MarketLionel Martellini, Riccardo Rebonato and Jean-Michel MaesoThe Journal of Fixed Income November 2021, jfi.2021.1.127; DOI: https://doi.org/10.3905/jfi.2021.1.127
- Public and Private Equity Returns: Different or Same?Alexander Rudin and Daniel FarleyThe Journal of Portfolio Management December 2021, jpm.2021.1.323; DOI: https://doi.org/10.3905/jpm.2021.1.323
- Tax Reform, Company Value, and Biden ProposalsRobin L. Walker, John R. Wingender and Thomas J. PurcellThe Journal of Investing December 2021, joi.2021.1.200; DOI: https://doi.org/10.3905/joi.2021.1.200
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