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New research challenges a long-standing rule in momentum investing—and reveals surprising insights about when to use it
For decades, investors using momentum strategies have followed a simple rule: ignore last month’s returns. This “skip-month” convention has been standard practice since the 1990s, designed to avoid short-term reversal effects where stocks ...
Pension systems are often treated as background institutions. Households save. Invest. And prepare for retirement. But in reality, pension structures play a central role in financial markets. Large pools of capital are managed collectively. Investment decisions are constrained. And risks are redistributed across generations. This paper introduces a new perspective. Pension de...
Stock momentum has long been a workhorse idea. Buy recent winners. Sell recent losers. Critics argue those profits mostly come from riding factor trends like value, size, or industry tilts. This paper pushes back. It shows there is a durable, stock-specific momentum component tied to how prices react to firm news around earnings dates. The result is a cleaner, lower-risk way ...
Investment professionals have long relied on factor investing—strategies built around characteristics like value, momentum, and quality—to generate returns beyond the broad market. But predicting which factors will perform well in the future has remained challenging. Liyao Wang and Ming Zeng, authors of the December 2025 study “