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

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  • Tobias Wiest

    (University of St. Gallen)

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.

Suggested Citation

  • Tobias Wiest, 2023. "Momentum: what do we know 30 years after Jegadeesh and Titman’s seminal paper?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(1), pages 95-114, March.
    • Handle: RePEc:kap:fmktpm:v:37:y:2023:i:1:d:10.1007_s11408-022-00417-8
    DOI: 10.1007/s11408-022-00417-8
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    References listed on IDEAS

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    Cited by:

    1. Galvani, Valentina, 2024. "Frog in the Pan and the market-state effect on momentum," Finance Research Letters, Elsevier, vol. 63(C).
    2. Ruijie Tang, 2024. "Trading with Time Series Causal Discovery: An Empirical Study," Papers 2408.15846, arXiv.org, revised Aug 2024.
    3. Kevin Rink, 2023. "The predictive ability of technical trading rules: an empirical analysis of developed and emerging equity markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(4), pages 403-456, December.

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    More about this item

    Keywords

    Momentum; Asset pricing; Factor momentum; Industry momentum; Commonalities; Residual momentum; Behavioral finance;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G40 - Financial Economics - - Behavioral Finance - - - General

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