Year: 2022
Type: article
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.
Author: Tobias Wiest
Institution: University of St.Gallen
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
Estimated APC paid: $2,780
Funder: Universität St. Gallen
OpenAlex ID: W4289522162