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The Cross-Section of Expected Stock Returns Source https://www.ivey.uwo.ca/media/3775518/the_cross-section_of_expected_stock_returns.pdf Comment This is the famous Fama-French paper, which proposed the Fama-French factor model, and the basics of cross-sectional equity research methods. Value and Momentum Everywhere Source https://pages.stern.nyu.edu/~lpederse/papers/ValMomEverywhere.pdf Comment A good introduction to value and momentum; they can generate abnormal returns for individual stocks within several countries, across country equity indices, government bonds, currencies, and commodities. Mean Reversion in Stock Prices: Evidence and Implications Source http://papers.ssrn.com/sol3/papers.cfm?abstract_id=227278 Comment One of the earliest papers reflecting the mean-reversion nature of stock prices. Price Momentum and Trading Volume Source http://technicalanalysis.org.uk/volume/LeSw00.pdf Comment Gi...
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