4 papers
Is Trend Still Your Friend?: A Microstructural Account of the Demise of Short-Term Trend-Following
Jutta G. Kurth, Zoltan Eisler, Adam Rej +1
Systematic trend following has, on average, been profitable for at least two centuries; yet since approximately 2009, short-term trends have ceased to deliver reliable returns. Usi…
Expectations Formation with Fat-tailed Processes: Evidence from Sales Forecasts
Eugene Larsen-Hallock, Adam Rej, David Thesmar
We empirically analyze a large sample of firm sales growth expectations. We find that the relationship between forecast errors and lagged revision is non-linear. Forecasters underr…
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…
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…