Beyond Momentum: Investigating Statistical Learning for Winners-Minus-Losers Anomalies
21 Pages Posted: 20 Aug 2015
Date Written: August 20, 2015
Financial market anomalies are reviewed and categorized, and the “winners minus losers” anomalies - short-term reversal, Momentum and long-term reversion - are discussed. Literature on extensions to the Momentum anomaly, by incorporating market and fundamental information, is examined. Statistical learning strategies are reviewed, with the goal of applying them to consolidating and improving Momentum.
Keywords: Momentum, Anomaly, Statistical Learning
JEL Classification: G11, G14
Suggested Citation: Suggested Citation