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Cited by 855

The DOI matches its Crossref record; 55 of the 55 references it cites were found in a registry or an index.

An Anatomy of Trading Strategies

Conrad, Jennifer, Kaul, Gautam·1998·Review of Financial Studies
DOI 10.1093/rfs/11.3.489
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Abstract

In this article we use a single unifying framework to analyze the sources of profits to a wide spectrum of return-based trading strategies implemented in the literature. We show that less than 50% of the 120 strategies implemented in the article yield statistically significant profits and, unconditionally, momentum and contrarian strategies are equally likely to be successful. However, when we condition on the return horizon (short, medium, or long) of the strategy, or the time period during which it is implemented, two patterns emerge. A momentum strategy is usually profitable at the medium (3- to 12-months) horizon, while a contrarian strategy nets statistically significant profits at long horizons, but only during the 1926–1947 subperiod. More importantly, our results show that the cross-sectional variation in the mean returns of individual securities included in these strategies play an important role in their profitability. The cross-sectional variation can potentially account for the profitability of momentum strategies and it is also responsible for attenuating the profits from price reversals to long-horizon contrarian strategies.

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Metadata

Authors
Conrad, J., & Kaul, G.
Venue
Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
1998-07
Volume
11
Issue
3
Pages
489-519
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/rfs/11.3.489
OpenAlex
W2023826935
Cited by
855
References
55
FWCI
23.65
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: An Anatomy of Trading Strategies. https://app.cochat.ai/papers/10.1093/rfs/11.3.489
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Conrad, J., & Kaul, G. (1998). An Anatomy of Trading Strategies. Review of Financial Studies. https://doi.org/10.1093/rfs/11.3.489

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.