I’ve just read a really interesting pre-publication paper from Dimitri Vayanos and Paul Woolley called “New Light on Choice of Investment Strategy”. It’s available online. It aims to explain the ability for momentum and value investment strategies to generate returns, while retaining the assumption of rationality. It does this largely by discussing intermediation. It seems a smart addition to the debate in this area, and a useful input to the work I’m doing in support of the Kay Review.