2 papers
q-fin.ST2021
Why and how systematic strategies decay
Antoine Falck, Adam Rej, David Thesmar
In this paper, we propose ex-ante characteristics that predict the drop in risk-adjusted performance out-of-sample for a large set of stock anomalies published in finance and accou…
q-fin.ST2020
Is Factor Momentum More than Stock Momentum?
Antoine Falck, Adam Rej, David Thesmar
Yes, but only at short lags. In this paper we investigate the relationship between factor momentum and stock momentum. Using a sample of 72 factors documented in the literature, we…