Is momentum really momentum?

Robert Novy-Marx

Journal of Financial Economics, 2012, vol. 103, issue 3, 429-453

Abstract: Momentum is primarily driven by firms' performance 12 to seven months prior to portfolio formation, not by a tendency of rising and falling stocks to keep rising and falling. Strategies based on recent past performance generate positive returns but are less profitable than those based on intermediate horizon past performance, especially among the largest, most liquid stocks. These facts are not particular to the momentum observed in the cross section of US equities. Similar results hold for momentum strategies trading international equity indices, commodities, and currencies.

Keywords: Momentum; Factor models (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (180)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:103:y:2012:i:3:p:429-453

DOI: 10.1016/j.jfineco.2011.05.003

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