Abstract
AbstractFor over 30 years, extensive research has found corroborating evidence that past winners continue to yield higher returns than past losers. This momentum effect is robust across various asset classes and across the globe and presents perhaps the most pervasive contradiction of the efficient market hypothesis. This article reviews three strands of literature on momentum. First, I outline the construction of momentum strategies, emphasizing improvements and alternatives such as time-series momentum, residual momentum, and risk-managed momentum. Second, I summarize the most prominent behavioral-based and risk-based explanations for the origin of momentum. Finally, I present in detail the findings on commonality in stock momentum, namely on industry and factor momentum.
Publisher
Springer Science and Business Media LLC
Reference60 articles.
1. Ali, U., Hirshleifer, D.: Shared analyst coverage: unifying momentum spillover effects. J. Financ. Econ. 136(3), 649–675 (2020)
2. Antoniou, C., Doukas, J.A., Subrahmanyam, A.: Cognitive dissonance, sentiment, and momentum. J. Financ. Quant. Anal. 48(1), 245–275 (2013)
3. Arnott, R. D., Clements, M., Kalesnik, V., Linnainmaa, J.T.: Factor momentum. Working Paper (2021)
4. Asness, C.S., Moskowitz, T.J., Pedersen, L.H.: Value and momentum everywhere. J. Finance 68(3), 929–985 (2013)
5. Avramov, D., Chordia, T., Jostova, G., Philipov, A.: Momentum and credit rating. J. Finance 62(5), 2503–2520 (2007)
Cited by
7 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献