1 Value: J. Lakonishok, A. Shleifer, R. Vishny, “Contrarian Investment, Extrapolation, and Risk.” Journal of Finance, 1994.
Momentum: N. Jegadeesh and S. Titman, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” Journal of Finance, 1993.
Quality: R. Sloan, “Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings.” Accounting Review, 1996.
Size: Banz, Rolf W. “The relationship between return and market value of common stocks” Journal of Financial Economics” 1981.
Sara Shores is Global Head of Smart Beta for BlackRock. You can read more of her posts here.