Adam Rej

Capital Fund Management International Inc.

The Chrysler Building, 55th floor

405 Lexington Avenue

New York, NY 10174

United States

SCHOLARLY PAPERS

4

DOWNLOADS

885

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

When Systematic Strategies Decay

Number of pages: 47 Posted: 18 May 2021 Last Revised: 01 Jul 2021
Capital Fund Management International Inc., Capital Fund Management International Inc. and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 569 (71,467)

Abstract:

Loading...

factor returns, arbitrage, overfitting

2.

Is Factor Momentum More than Stock Momentum?

Number of pages: 33 Posted: 27 Oct 2020
Capital Fund Management International Inc., Capital Fund Management International Inc. and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 283 (158,108)

Abstract:

Loading...

factor returns, factor momentum, stock momentum

3.

Expectations Formation with Fat-Tailed Processes: Evidence from Sales Forecasts

Number of pages: 34 Posted: 20 Oct 2022
Columbia University, Capital Fund Management International Inc. and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 33 (640,366)

Abstract:

Loading...

behavioral finance, analyst forecasts, behavioral biases, fat-tailed processes

4.

Is Factor Momentum Greater Than Stock Momentum?

Journal of Investment Strategies, Vol. 10, No. 4, 2022
Posted: 09 Jun 2022
Capital Fund Management International Inc., Capital Fund Management International Inc. and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

Loading...

asset pricing, factor returns, factor momentum, stock momentum, mean reversion