Baz, Jamil
[VerfasserIn];
Granger, Nicolas
[VerfasserIn];
Harvey, Campbell R.
[VerfasserIn];
Le Roux, Nicolas
[VerfasserIn];
Rattray, Sandy
[VerfasserIn]
Dissecting investment strategies in the cross section and time series
Beschreibung:
We contrast the time-series and cross-sectional performance of three popular investment strategies: carry, momentum and value. While considerable research has examined the performance of these strategies in either a directional or cross-asset settings, we offer some insights on the market conditions that favor the application of a particular setting