Continued from Pt.2….Value investing: The academic research [Pt. 2]
Part one can be found here: Value investing: The academic research [Pt. 1]
Value Investing - Study three: Risky Combining Value and Momentum
The third and final study in UBS’s academic research report on value is Gregg Fisher, Ronnie Shah & Sheridan Titman paper titled, “Combining Value and Momentum”.
As the headline states, the paper looks at the benefits of combining value and momentum as a strategy. It’s well documented that both strategies, on a standalone basis, can generate excess returns, but momentum strategies are usually held back by trading costs, and this is where the authors of the selected paper focus their research.
The first approach requires ranking stocks on momentum (past 12-month...
