By studying value and momentum in Japan as a system, because they are strongly negatively correlated, this paper by AQR’s Cliff Asness argues that despite popular belief, momentum “works quite well” in Japan.
March 16, 2011
Create an account for a more personalised experience. You'll be able to save content to a reading list for later, update your interests so we understand what content and events you'll love, and update your preferences and contact information.
Login via LinkedIn
Use your LinkedIn account to accelerate the process. We'll source your details from your LinkedIn profile.