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June 20, 2022

Night Moves: Is the Overnight Drift the Grandmother of All Market Anomalies?

When we first heard about the overnight effect, our first reaction was: that can’t be right! But after some more digging, we found plenty of evidence for what could be a major market anomaly.

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    • A Case Study for Using Value and Momentum at the Asset Class Level – Haghani & Dewey – Journal of Portfolio Management (2016)
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    • Return Chasing and Trend Following: Superficial Similarities Mask Fundamental Differences – Haghani, McBride (2016)
    • Back in the Hunt – Asness, Ilmanen and Maloney (2015)
    • Investing for the Rest of Us – Victor Haghani & Richard Dewey (2011)
    • Value and Momentum Everywhere – Asness, Moskowitz, and Pedersen (2009)
    • Global Tactical Cross-Asset Allocation – Blitz and van Vliet (2008)
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    • Dynamic Asset Allocation: Modern Portfolio Theory Updated for the Smart Investor by James Picerno (2010)
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    • Should All Real Estate Investors be Value Investors? An exploration of momentum investing in real estate markets – Akash Shivashankara (2013)
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