Beyond Momentum: Investigating Statistical Learning for Winners--Minus--Losers Anomalies

Abstract

Financial market anomalies are reviewed and categorized, and the “winners minus losers” anomalies - short-term reversal, Momentum and long-term reversion - are discussed. Literature on extensions to the Momentum anomaly, by incorporating market and fundamental information, is examined. Statistical learning strategies are reviewed, with the goal of applying them to consolidating and improving Momentum.