In the context of value investing, this expectation error seems to be an overreaction to negative news, on average; for momentum, the expectation error is surprisingly tied to an underreaction to positive news (some argue it is an overreaction, which cannot be ruled out, but the collective evidence is more supportive of the undereaction

really any anomaly strategy, can be sustainable in the future: Investors will continue to suffer behavioral bias. Investors who delegate will be short-sighted performance chasers. We think we can rely on these two assumptions for the foreseeable future. And because of our faith in these assumptions, we believe there will always be opportunities for

We want to highlight that time-series and cross-sectional momentum are often used in a market-timing or asset-class selection context.

As we will discuss, the speed at which mispricing opportunities are eliminated depends on the cost of exploitation. Putting aside an array of transaction and information acquisition costs, which are nonzero, the biggest cost to exploiting long-lasting mispricing opportunities are career risk concerns on behalf of delegated asset managers. The