Mikhail Samonov

Two Centuries Investments

Princeton, NJ

United States

SCHOLARLY PAPERS

4

DOWNLOADS
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SSRN RANKINGS

Top 3,430

in Total Papers Downloads

13,752

SSRN CITATIONS
Rank 28,397

SSRN RANKINGS

Top 28,397

in Total Papers Citations

15

CROSSREF CITATIONS

17

Scholarly Papers (4)

1.

Two Centuries of Multi-Asset Momentum (Equities, Bonds, Currencies, Commodities, Sectors and Stocks)

Number of pages: 77 Posted: 20 May 2015 Last Revised: 11 May 2017
Christopher Geczy and Mikhail Samonov
University of Pennsylvania - The Wharton School, Finance Department and Two Centuries Investments
Downloads 6,840 (1,185)
Citation 11

Abstract:

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Price Momentum, Early Security Prices, Market States, Price Reversal, Currency, Commodity, Bonds

2.

Two Centuries of Price Return Momentum

Financial Analysts Journal, Vol. 72, No. 5 (September/October 2016), Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 58 Posted: 12 Jul 2013 Last Revised: 10 Sep 2020
Christopher Geczy and Mikhail Samonov
University of Pennsylvania - The Wharton School, Finance Department and Two Centuries Investments
Downloads 6,054 (1,458)
Citation 30

Abstract:

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Price Momentum, Early Security Prices, Market States, Price Reversal, Hedging

3.

Two Centuries of Commodity Futures Premia: Momentum, Value and Basis

Number of pages: 28 Posted: 26 Feb 2019
Christopher Geczy and Mikhail Samonov
University of Pennsylvania - The Wharton School, Finance Department and Two Centuries Investments
Downloads 585 (57,362)

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Commodity Futures, Long-Run Research, Momentum, Value, Basis

4.

Efficient SRI/ESG Portfolios

Number of pages: 43 Posted: 30 Jul 2019
Christopher Geczy, John Guerard and Mikhail Samonov
University of Pennsylvania - The Wharton School, Finance Department, McKinley Capital Management, LLC and Two Centuries Investments
Downloads 273 (138,277)

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Socially Responsible Investing, ESG, Portfoio Selection