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title = {Countercyclical currency risk premia}, journal = {Journal of Financial Economics}, volume = {111}, year = {2014}, pages = {527{\textendash}553}, author = {Lustig, Hanno and Roussanov, Nikolai and Verdelhan, Adrien} } @article {israel2014fact, title = {Fact, Fiction and Momentum Investing}, journal = {Working Paper}, year = {2014}, author = {Israel, Ronen and Frazzini, Andrea and Moskowitz, Tobias J and Asness, Clifford S} } @article {fama2014five, title = {A five-factor asset pricing model}, journal = {Journal of Financial Economics}, year = {2014}, publisher = {Elsevier}, author = {Fama, Eugene F and French, Kenneth R} } @article {novymarx2014quality, title = {Quality Investing}, journal = {Working Paper}, year = {2014}, author = {Novy-Marx, Robert} } @article {geczy2013212, title = {212 Years of Price Momentum (The World{\textquoteright}s Longest Backtest: 1801{\textendash}2012)}, journal = {Working Paper}, year = {2013}, author = {Geczy, Christopher and Samonov, Mikhail} } @article {frazzini2013buffett, title = {Buffett{\textquoteright}s Alpha}, journal = {National Bureau of Economic Research}, year = {2013}, author = {Frazzini, Andrea and Kabiller, David and Pedersen, Lasse H} } @booklet {koijen2013carry, title = {Carry}, year = {2013}, author = {Koijen, Ralph SJ and Moskowitz, Tobias J and Pedersen, Lasse Heje and Vrugt, Evert B} } @booklet {ready2013commodity, title = {Commodity trade and the carry trade: A tale of two countries}, year = {2013}, author = {Ready, Robert and Roussanov, Nikolai and Ward, Colin} } @article {asness2013devil, title = {The devil in HML{\textquoteright}s details}, journal = {The Journal of Portfolio Management}, volume = {39}, year = {2013}, pages = {49-68}, author = {Asness, Cliff and Frazzini, Andrea} } @article {vayanos2013institutional, title = {An institutional theory of momentum and reversal}, journal = {Review of Financial Studies}, year = {2013}, pages = {hht014}, publisher = {Soc Financial Studies}, author = {Vayanos, Dimitri and Woolley, Paul} } @article {asness2013low, title = {Low-Risk Investing Without Industry Bets}, journal = {Working Paper}, year = {2013}, author = {Asness, Cliff and Frazzini, Andrea and Pedersen, Lasse H} } @article {daniel2013momentum, title = {Momentum Crashes}, journal = {Working Paper}, year = {2013}, publisher = {University of Geneva}, author = {Daniel, Kent and Moskowitz, Tobias J} } @article {novy2013other, title = {The other side of value: The gross profitability premium}, journal = {Journal of Financial Economics}, volume = {108}, year = {2013}, pages = {1{\textendash}28}, author = {Novy-Marx, Robert} } @article {israel2013role, title = {The role of shorting, firm size, and time on market anomalies}, journal = {Journal of Financial Economics}, volume = {108}, number = {2}, year = {2013}, pages = {275{\textendash}301}, publisher = {Elsevier}, author = {Israel, Ronen and Moskowitz, Tobias J} } @article {asness2013value, title = {Value and Momentum Everywhere}, journal = {The Journal of Finance}, volume = {68}, number = {3}, year = {2013}, pages = {929{\textendash}985}, publisher = {Wiley Online Library}, author = {Asness, Clifford S and Moskowitz, Tobias J and Pedersen, Lasse Heje} } @article {menkhoff2012carry, title = {Carry trades and global foreign exchange volatility}, journal = {The Journal of Finance}, volume = {67}, year = {2012}, pages = {681{\textendash}718}, author = {Menkhoff, Lukas and Sarno, Lucio and Schmeling, Maik and Schrimpf, Andreas} } @article {barrosoy2012managing, title = {Managing the Risk of Momentum}, journal = {Working Paper}, year = {2012}, author = {Barrosoy, Pedro and Santa-Claraz, Pedro} } @article {fama2012size, title = {Size, value, and momentum in international stock returns}, journal = {Journal of Financial Economics}, volume = {105}, year = {2012}, pages = {457{\textendash}472}, author = {Fama, Eugene F and French, Kenneth R} } @article {moskowitz2012time, title = {Time series momentum}, journal = {Journal of Financial Economics}, volume = {104}, number = {2}, year = {2012}, pages = {228{\textendash}250}, publisher = {Elsevier}, author = {Moskowitz, Tobias J and Ooi, Yao Hua and Pedersen, Lasse Heje} } @article {van2010timing, title = {On the timing and pricing of dividends}, journal = {The American economic review}, volume = {102}, year = {2012}, pages = {1596{\textendash}1618}, author = {Van Binsbergen, Jules H and Brandt, Michael W and Koijen, Ralph SJ} } @article {lustig2011common, title = {Common risk factors in currency markets}, journal = {Review of Financial Studies}, year = {2011}, pages = {hhr068}, author = {Lustig, Hanno and Roussanov, Nikolai and Verdelhan, Adrien} } @article {crain2011, title = {A literature review of the size effect}, journal = {Available at SSRN 1710076}, year = {2011}, author = {Crain, Michael A} } @article {bacchetta2010infrequent, title = {Infrequent portfolio decisions: A solution to the forward discount puzzle}, journal = {The 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