Long Run

A Growing List of Long-Run Factor Studies

While there exists a well-established (at least a century-old) academic interest in the long-run properties of asset class returns like the U.S. Equity, Fixed Income, Commodity and Real Estate Markets, only during the past decade, has there emerged a branch of literature studying the cross-sectional factors like price momentum and value, as well as other effects like trend and volatility over the long-run.

Relevance of Long-Run Historical Data Today: Case of Price Momentum Crashes

Many people ask me why I look at such long historical data when today is surely very different from distant past. Here is how my fascination with long-run data started and why I think insights from deep history are very useful.