Relative vs. Intrinsic Past Return Reversal, Momentum and Reversion
June 18, 2015 - Momentum Investing
Which works best, strategies comparing past returns among assets (relative or cross-sectional) or strategies requiring positive past raw/excess returns (intrinsic or absolute or time series)? In their May 2015 paper entitled “Cross-Sectional and Time-Series Tests of Return Predictability: What is the Difference?”, Amit Goyal and Narasimhan Jegadeesh investigate differences between relative and intrinsic past return strategies, focusing on individual U.S. common… Keep Reading