Momentum Investing

Bill Jiang ()
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Bill Jiang: Legal & General Investment Management

Chapter Chapter 11 in Investment Strategies, 2022, pp 133-146 from Springer

Abstract: Abstract The momentum strategy seeks to profit from established price trends in the market. Many studies provide empirical evidence that investing in momentum stocks can achieve superior returns. The momentum effect is primarily attributed to behavioural biases in investing. This chapter discusses the characteristics and performance of the momentum factor as well as its place in multifactor investing. It explains the relevance of time window in the construction of momentum strategies. The chapter provides a model to evaluate the quality of price trends. It shows the potential of trend quality to enhance the momentum effect.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-82711-3_11

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DOI: 10.1007/978-3-030-82711-3_11

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