@book {Swedroe2015,
	title = {The Incredible Shrinking Alpha: And What You Can Do to Escape Its Clutches},
	year = {2015},
	publisher = {BAM ALLIANCE Press},
	organization = {BAM ALLIANCE Press},
	author = {Larry E Swedroe and Andrew L Berkin}
}
@article {asness2015,
	title = {Size Matters, if You Control Your Junk},
	journal = {Available at SSRN 2553889},
	year = {2015},
	author = {Asness, Clifford S and Frazzini, Andrea and Israel, Ronen and Moskowitz, Tobias J and Pedersen, Lasse Heje}
}
@book {ang2014asset,
	title = {Asset Management: A Systematic Approach to Factor Investing},
	year = {2014},
	publisher = {Oxford University Press},
	organization = {Oxford University Press},
	author = {Ang, Andrew}
}
@article {frazzini2014betting,
	title = {Betting against beta},
	journal = {Journal of Financial Economics},
	volume = {111},
	number = {1},
	year = {2014},
	pages = {1{\textendash}25},
	publisher = {Elsevier},
	author = {Frazzini, Andrea and Pedersen, Lasse Heje}
}
@article {lustig2014countercyclical,
	title = {Countercyclical currency risk premia},
	journal = {Journal of Financial Economics},
	volume = {111},
	year = {2014},
	pages = {527{\textendash}553},
	author = {Lustig, Hanno and Roussanov, Nikolai and Verdelhan, Adrien}
}
@article {israel2014fact,
	title = {Fact, Fiction and Momentum Investing},
	journal = {Working Paper},
	year = {2014},
	author = {Israel, Ronen and Frazzini, Andrea and Moskowitz, Tobias J and Asness, Clifford S}
}
@article {fama2014five,
	title = {A five-factor asset pricing model},
	journal = {Journal of Financial Economics},
	year = {2014},
	publisher = {Elsevier},
	author = {Fama, Eugene F and French, Kenneth R}
}
@article {novymarx2014quality,
	title = {Quality Investing},
	journal = {Working Paper},
	year = {2014},
	author = {Novy-Marx, Robert}
}
@article {geczy2013212,
	title = {212 Years of Price Momentum (The World{\textquoteright}s Longest Backtest: 1801{\textendash}2012)},
	journal = {Working Paper},
	year = {2013},
	author = {Geczy, Christopher and Samonov, Mikhail}
}
@article {frazzini2013buffett,
	title = {Buffett{\textquoteright}s Alpha},
	journal = {National Bureau of Economic Research},
	year = {2013},
	author = {Frazzini, Andrea and Kabiller, David and Pedersen, Lasse H}
}
@booklet {koijen2013carry,
	title = {Carry},
	year = {2013},
	author = {Koijen, Ralph SJ and Moskowitz, Tobias J and Pedersen, Lasse Heje and Vrugt, Evert B}
}
@booklet {ready2013commodity,
	title = {Commodity trade and the carry trade: A tale of two countries},
	year = {2013},
	author = {Ready, Robert and Roussanov, Nikolai and Ward, Colin}
}
@article {asness2013devil,
	title = {The devil in HML{\textquoteright}s details},
	journal = {The Journal of Portfolio Management},
	volume = {39},
	year = {2013},
	pages = {49-68},
	author = {Asness, Cliff and Frazzini, Andrea}
}
@article {vayanos2013institutional,
	title = {An institutional theory of momentum and reversal},
	journal = {Review of Financial Studies},
	year = {2013},
	pages = {hht014},
	publisher = {Soc Financial Studies},
	author = {Vayanos, Dimitri and Woolley, Paul}
}
@article {asness2013low,
	title = {Low-Risk Investing Without Industry Bets},
	journal = {Working Paper},
	year = {2013},
	author = {Asness, Cliff and Frazzini, Andrea and Pedersen, Lasse H}
}
@article {daniel2013momentum,
	title = {Momentum Crashes},
	journal = {Working Paper},
	year = {2013},
	publisher = {University of Geneva},
	author = {Daniel, Kent and Moskowitz, Tobias J}
}
@article {novy2013other,
	title = {The other side of value: The gross profitability premium},
	journal = {Journal of Financial Economics},
	volume = {108},
	year = {2013},
	pages = {1{\textendash}28},
	author = {Novy-Marx, Robert}
}
@article {israel2013role,
	title = {The role of shorting, firm size, and time on market anomalies},
	journal = {Journal of Financial Economics},
	volume = {108},
	number = {2},
	year = {2013},
	pages = {275{\textendash}301},
	publisher = {Elsevier},
	author = {Israel, Ronen and Moskowitz, Tobias J}
}
@article {asness2013value,
	title = {Value and Momentum Everywhere},
	journal = {The Journal of Finance},
	volume = {68},
	number = {3},
	year = {2013},
	pages = {929{\textendash}985},
	publisher = {Wiley Online Library},
	author = {Asness, Clifford S and Moskowitz, Tobias J and Pedersen, Lasse Heje}
}
@article {menkhoff2012carry,
	title = {Carry trades and global foreign exchange volatility},
	journal = {The Journal of Finance},
	volume = {67},
	year = {2012},
	pages = {681{\textendash}718},
	author = {Menkhoff, Lukas and Sarno, Lucio and Schmeling, Maik and Schrimpf, Andreas}
}
@article {barrosoy2012managing,
	title = {Managing the Risk of Momentum},
	journal = {Working Paper},
	year = {2012},
	author = {Barrosoy, Pedro and Santa-Claraz, Pedro}
}
@article {fama2012size,
	title = {Size, value, and momentum in international stock returns},
	journal = {Journal of Financial Economics},
	volume = {105},
	year = {2012},
	pages = {457{\textendash}472},
	author = {Fama, Eugene F and French, Kenneth R}
}
@article {moskowitz2012time,
	title = {Time series momentum},
	journal = {Journal of Financial Economics},
	volume = {104},
	number = {2},
	year = {2012},
	pages = {228{\textendash}250},
	publisher = {Elsevier},
	author = {Moskowitz, Tobias J and Ooi, Yao Hua and Pedersen, Lasse Heje}
}
@article {van2010timing,
	title = {On the timing and pricing of dividends},
	journal = {The American economic review},
	volume = {102},
	year = {2012},
	pages = {1596{\textendash}1618},
	author = {Van Binsbergen, Jules H and Brandt, Michael W and Koijen, Ralph SJ}
}
@article {lustig2011common,
	title = {Common risk factors in currency markets},
	journal = {Review of Financial Studies},
	year = {2011},
	pages = {hhr068},
	author = {Lustig, Hanno and Roussanov, Nikolai and Verdelhan, Adrien}
}
@article {crain2011,
	title = {A literature review of the size effect},
	journal = {Available at SSRN 1710076},
	year = {2011},
	author = {Crain, Michael A}
}
@article {bacchetta2010infrequent,
	title = {Infrequent portfolio decisions: A solution to the forward discount puzzle},
	journal = {The American Economic Review},
	volume = {100},
	year = {2010},
	pages = {870{\textendash}904},
	author = {Bacchetta, Philippe and Van Wincoop, Eric}
}
@article {Brunnermeier_Pedersen2009,
	title = {Market liquidity and funding liquidity},
	journal = {Review of Financial studies},
	volume = {22},
	year = {2009},
	pages = {2201{\textendash}2238},
	author = {Brunnermeier, Markus K and Pedersen, Lasse Heje}
}
@article {liu2008momentum,
	title = {Momentum profits, factor pricing, and macroeconomic risk},
	journal = {Review of Financial Studies},
	volume = {21},
	number = {6},
	year = {2008},
	pages = {2417{\textendash}2448},
	publisher = {Soc Financial Studies},
	author = {Liu, Laura Xiaolei and Zhang, Lu}
}
@article {lustig2007cross,
	title = {The cross section of foreign currency risk premia and consumption growth risk},
	journal = {The American economic review},
	volume = {97},
	year = {2007},
	pages = {89{\textendash}117},
	author = {Lustig, Hanno and Verdelhan, Adrien}
}
@article {ang2007stock,
	title = {Stock return predictability: Is it there?},
	journal = {Review of Financial studies},
	volume = {20},
	year = {2007},
	pages = {651{\textendash}707},
	author = {Ang, Andrew and Bekaert, Geert}
}
@article {blitz2007volatility,
	title = {The Volatility Effect},
	journal = {The Journal of Portfolio Management},
	volume = {34(1)},
	year = {2007},
	pages = {102-113},
	author = {Blitz, David C and van Vliet, Pim}
}
@article {ang2006cross,
	title = {The cross-section of volatility and expected returns},
	journal = {The Journal of Finance},
	volume = {61},
	number = {1},
	year = {2006},
	pages = {259{\textendash}299},
	publisher = {Wiley Online Library},
	author = {Ang, Andrew and Hodrick, Robert J and Xing, Yuhang and Zhang, Xiaoyan}
}
@book {hull2006options,
	title = {Options, futures, and other derivatives},
	year = {2006},
	publisher = {Pearson Education India},
	organization = {Pearson Education India},
	author = {Hull, John C}
}
@book {cochrane2005asset,
	title = {Asset Pricing},
	year = {2005},
	publisher = {Princeton University Press Princeton},
	organization = {Princeton University Press Princeton},
	author = {Cochrane, John H}
}
@article {zhang2005value,
	title = {The value premium},
	journal = {The Journal of Finance},
	volume = {60},
	year = {2005},
	pages = {67{\textendash}103},
	author = {Zhang, Lu}
}
@article {Fama_French2004,
	title = {The capital asset pricing model: theory and evidence},
	journal = {Journal of Economic Perspectives},
	year = {2004},
	pages = {25{\textendash}46},
	author = {Fama, Eugene F and French, Kenneth R}
}
@book {Cvitanic_Zapatero2004,
	title = {Introduction to the economics and mathematics of financial markets},
	year = {2004},
	publisher = {MIT press},
	organization = {MIT press},
	author = {Cvitani{\'c}, Jak{\v s}a and Zapatero, Fernando}
}
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	title = {Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models},
	journal = {Journal of Business \& Economic Statistics},
	volume = {20},
	year = {2002},
	pages = {339{\textendash}350},
	author = {Engle, Robert}
}
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	title = {International asset allocation with regime shifts},
	journal = {Review of Financial studies},
	volume = {15},
	year = {2002},
	pages = {1137{\textendash}1187},
	author = {Ang, Andrew and Bekaert, Geert}
}
@article {piotroski2000value,
	title = {Value investing: The use of historical financial statement information to separate winners from losers},
	journal = {Journal of Accounting Research},
	year = {2000},
	pages = {1{\textendash}41},
	author = {Piotroski, Joseph D}
}
@article {jegadeesh1993returns,
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	number = {1},
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	pages = {65{\textendash}91},
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}
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	title = {Production-based asset pricing and the link between stock returns and economic fluctuations},
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	volume = {46},
	number = {1},
	year = {1991},
	pages = {209{\textendash}237},
	publisher = {Wiley Online Library},
	author = {Cochrane, John H}
}
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	title = {Forward and spot exchange rates},
	journal = {Journal of Monetary Economics},
	volume = {14},
	year = {1984},
	pages = {319{\textendash}338},
	author = {Fama, Eugene F}
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	title = {The relationship between return and market value of common stocks},
	journal = {Journal of Financial Economics},
	volume = {9},
	year = {1981},
	pages = {3{\textendash}18},
	author = {Banz, Rolf W}
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	title = {The Arbitrage Theory of Capital Asset Pricing},
	journal = {Journal of Economic Theory},
	volume = {13},
	year = {1976},
	pages = {341{\textendash}360},
	author = {Ross, Stephen A}
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@article {haugen1975risk,
	title = {Risk and the rate of return on financial assets: Some old wine in new bottles},
	journal = {Journal of Financial and Quantitative Analysis},
	volume = {10},
	number = {05},
	year = {1975},
	pages = {775{\textendash}784},
	publisher = {Cambridge Univ Press},
	author = {Haugen, Robert A and Heins, A James}
}
@article {jensen1972capital,
	title = {The capital asset pricing model: Some empirical tests},
	year = {1972},
	author = {Jensen, Michael C and Black, Fischer and Scholes, Myron S}
}
@article {Lintner1965,
	title = {The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets},
	journal = {Review of Economics and Statistics},
	volume = {47},
	year = {1965},
	pages = {13{\textendash}37},
	author = {Lintner, John}
}
@article {Sharpe1964,
	title = {Capital asset prices: a theory of market equilibrium under conditions of risk},
	journal = {Journal of Finance},
	volume = {19},
	year = {1964},
	pages = {425{\textendash}442},
	author = {Sharpe, William F}
}
@article {Markowitz1952,
	title = {Portfolio selection},
	journal = {Journal of Finance},
	volume = {7},
	year = {1952},
	pages = {77{\textendash}99},
	author = {Markowitz, Harry}
}
