Momentum investing: A survey

Laurens Swinkels

Journal of Asset Management, 2004, vol. 5, issue 2, No 5, 120-143

Abstract: Abstract Research on the profitability of stock return momentum strategies has been very active in the past decade. This paper gives an overview of this strand of literature. It discusses the empirical results and research methods that have been used to obtain them. The momentum return is decomposed in order to find the driving force behind the momentum effect. In addition, a variety of explanations for the momentum effect, such as a compensation for risk or investor trading behaviour, are summarised. Some recent papers investigating the profitability of momentum strategies for institutional investors when explicitly taking transactions cost estimates into account are also touched upon.

Keywords: momentum effect; portfolio management; stock return decomposition; transaction costs (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1057/palgrave.jam.2240133

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