I read an article today, The Fallibility of the Efficient Market Theory: A New Paradigm. Good article, made e look through a major article cited: An Institutional Theory of Momentum and Reversal.
The former article explains in basic terms what the authors have illustrated. The latter article, provides all of the complex math. I get 50%+ of it, and I think it is right. This explains value, momentum, and mean-reversion, the largest anomalies that trouble the Efficient Markets Hypothesis.
This article deserves more attention from quants and academics. The only thing that troubles me about it is that they assume a normal distribution for security returns.
Below is our 13F roundup for some high profile hedge funds for the three months to the end of March 2021 (Q1). Q1 2021 hedge fund letters, conferences and more The statements only include equity positions as 13Fs do not include cash and debt holdings. They also only include US equity holdings. Funds may hold Read More
Have a read, and for those that can understand the math, if you disagree with it, let me know.
By David Merkel, CFA of alephblog