Momentum: what do we know 30 years after Jegadeesh and Titman’s seminal paper?

Tobias Wiest ()
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Tobias Wiest: University of St. Gallen

Financial Markets and Portfolio Management, 2023, vol. 37, issue 1, No 4, 95-114

Abstract: Abstract For 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.

Keywords: Momentum; Asset pricing; Factor momentum; Industry momentum; Commonalities; Residual momentum; Behavioral finance (search for similar items in EconPapers)
JEL-codes: G11 G12 G40 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s11408-022-00417-8

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