This page is dedicated to the literature, research papers and other reference materials related to the field of
Momentum Investing.
Literature
Antonacci, G. (2015) Dual momentum investing: An innovative strategy for higher returns with Lower Risk. New York: McGraw-Hill Education.
Berkin, A.L., Swedroe, L.E. and Asness, C.S. (2016) Your complete guide to factor-based investing. St. Louis, MO: BAM ALLIANCE Press.
Callahan, C. (2022) Unloved bull markets: Getting rich the easy way by Riding Bull Markets. Newark: John Wiley & Sons, Incorporated.
Clenow, A.F. (2015) Stocks on the move: Beating the market with hedge fund Momentum Strategies. Createspace Independent.
Crosby, D. (2018) The Behavioral investor. Petersfield, Hampshire, UK: Harriman House.
Gray, W.R. and Vogel, J.R. (2016) Quantitative momentum: A practitioner's guide to building a momentum-based stock selection system. Hoboken, NJ: WILEY.
Research papers
Agyei-Ampomah, Sam (2007) “The Post-cost Profitability of Momentum Trading Strategies: Further Evidence from the UK”, European Financial Management 13(4): 776-802.
Akemann, C.A. and Keller, W.E. (1977) “Relative strength does persist!,” The Journal of Portfolio Management, 4(1), pp. 38–45. Available at: https://doi.org/10.3905/jpm.1977.408622.
Antonacci, G. (2012) “Risk premia harvesting through momentum,” SSRN Electronic Journal [Preprint]. Available at: https://doi.org/10.2139/ssrn.2042750.
Antonacci, G. (2011) “Optimal momentum: A Global Cross Asset Approach,” SSRN Electronic Journal [Preprint]. Available at: https://doi.org/10.2139/ssrn.1833722.
Antoniou, A. and Koutmos, G. (2004) “Momentum trading: Evidence from futures markets,” SSRN Electronic Journal [Preprint]. Available at: https://doi.org/10.2139/ssrn.497522.
Ap Gwilym, O. et al. (2010) “Price and momentum as robust tactical approaches to global equity investing,” The Journal of Investing, 19(3), pp. 80–91. Available at: https://doi.org/10.3905/joi.2010.19.3.080.
Asness, C. (2011) “Momentum in Japan: The Exception that Proves the Rule,” The Journal of Portfolio Management, p. 110629003308001. Available at: https://doi.org/10.3905/jpm.2011.2011.1.014.
Asness, C.S. (1997) “The interaction of value and momentum strategies,” Financial Analysts Journal, 53(2), pp. 29–36. Available at: https://doi.org/10.2469/faj.v53.n2.2069.
Asness, C.S. et al. (2014) “Fact, fiction and momentum investing,” Journal of Portfolio Management, 40(5), pp. 75–92. Available at: https://doi.org/10.2139/ssrn.2435323.
Asness, C.S., Liew, J.M. and Stevens, R.L. (1997) “Parallels between the cross-sectional predictability of stock and country returns,” The Journal of Portfolio Management, 23(3), pp. 79–87. Available at: https://doi.org/10.3905/jpm.1997.409606.
Asness, C.S., Moskowitz, T.J. and Pedersen, L.H. (2013) “Value and momentum everywhere,” The Journal of Finance, 68(3), pp. 929–985.
Baltas, A.-N. and Kosowski, R. (2012) “Improving time-series momentum strategies: The role of trading signals and volatility estimators,” SSRN Electronic Journal [Preprint]. Available at: https://doi.org/10.2139/ssrn.2140091.
Baltas, A.-N. and Kosowski, R. (2012) “Momentum Strategies in futures markets and trend-following funds,” SSRN Electronic Journal [Preprint]. Available at: https://doi.org/10.2139/ssrn.1968996.
Baltzer, M., Jank, S. and Smajlbegovic, E. (2015) “Who trades on momentum?,” Bundesbank Discussion Paper [Preprint]. Available at: https://doi.org/10.2139/ssrn.2517462.
Barberis, N. and Thaler, R. (2002) “A survey of Behavioral Finance.” Available at: https://doi.org/10.3386/w9222.
Barroso, P. and Santa-Clara, P. (2015) “Momentum has its moments,” Journal of Financial Economics, 116(1), pp. 111–120. Available at: https://doi.org/10.1016/j.jfineco.2014.11.010.
Barth, F., Scholz, H. and Stegmeier, M. (2017) “Momentum in the European Corporate Bond Market: the role of bond-specific returns,” The Journal of Fixed Income, 27(3), pp. 54–70. Available at: https://doi.org/10.3905/jfi.2018.27.3.054.
Beekhuizen, P. and Hallerbach, W.G. (2015) “Uncovering trend rules,” SSRN Electronic Journal [Preprint]. Available at: https://doi.org/10.2139/ssrn.2604942.
Beracha, E. and Skiba, H. (2009) “Momentum in residential real estate,” The Journal of Real Estate Finance and Economics, 43(3), pp. 299–320. Available at: https://doi.org/10.1007/s11146-009-9210-2.
Bhojraj, S. and Swaminathan, B. (2006) “Macromomentum: Returns predictability in international equity indices*,” The Journal of Business, 79(1), pp. 429–451. Available at: https://doi.org/10.1086/497416.
Birru, J. (2015) “Confusion of confusions: A test of the disposition effect and momentum,” The Review of Financial Studies, 28(7), pp. 1849–1873. Available at: https://doi.org/10.1093/rfs/hhv007.
Blitz, D., Huij, J. and Martens, M. (2009) “Residual momentum,” SSRN Electronic Journal [Preprint]. Available at: https://doi.org/10.2139/ssrn.2319861.
Blitz, D.C. and Van Vliet, P. (2008) “Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes,” The Journal of Portfolio Management, 35(1), pp. 23–38. Available at: https://doi.org/10.3905/jpm.2008.35.1.23.
Bohan, J. (1981) “Relative strength: Further Positive Evidence,” The Journal of Portfolio Management, 8(1), pp. 36–39. Available at: https://doi.org/10.3905/jpm.1981.408831.
Bruder, B. et al. (2011) “Trend filtering methods for momentum strategies,” SSRN Electronic Journal [Preprint]. Available at: https://doi.org/10.2139/ssrn.2289097.
Brush, J.S. and Boles, K.E. (1983) “The Predictive Power in Relative Strength & CAPM,” The Journal of Portfolio Management, 9(4), pp. 20–23. Available at: https://doi.org/10.3905/jpm.1983.20.
Carhart, M.M. (1997) “On Persistence in Mutual Fund Performance,” Journal of Finance, 52(1), pp. 57–82.
Carlson, B. (2015) “Why Momentum Investing Works,” A Wealth of Common Sense, 7 July. Available at: https://awealthofcommonsense.com/2015/07/why-momentum-investing-works/ (Accessed: December 10, 2022).
Chabot, B., Ghysels, E. and Jagannathan, R. (2008) “Price momentum in stocks: Insights from Victorian Age data.” Available at: https://doi.org/10.3386/w14500.
Chan, Louis, Narasimhan Jegadeesh, and Josef Lakonishok (1996) “Momentum Strategies”, Journal of Finance, 51: 1681-1713.
Chaves, D.B. (2012) “Eureka! A momentum strategy that also works in Japan,” Research Affiliates Working Paper [Preprint]. Available at: https://doi.org/10.2139/ssrn.1982100.
Chaves, D.B. (2016) “Idiosyncratic Momentum: U.S. and International Evidence,” The Journal of Investing, 25(2), pp. 64–76. Available at: https://doi.org/10.3905/joi.2016.25.2.064.
Chen, H.-Y. et al. (2014) “Does revenue momentum drive or ride earnings or price momentum?,” Handbook of Financial Econometrics and Statistics, pp. 2217–2261. Available at: https://doi.org/10.1007/978-1-4614-7750-1_81.
Chen, L.-W. and Yu, H.-Y. (2013) “Investor attention, visual price pattern, and momentum investing,” 27th Australasian Finance and Banking Conference 2014 Paper [Preprint]. Available at: https://doi.org/10.2139/ssrn.2292895.
Chui, A.C.W., Wei, K.C. and Titman, S. (2005) “Individualism and momentum around the world,” SSRN Electronic Journal [Preprint]. Available at: https://doi.org/10.2139/ssrn.685767.
Clare, A. et al. (2014) “Size matters: Tail risk, momentum and trend following in international equity portfolios,” SSRN Electronic Journal [Preprint]. Available at: https://doi.org/10.2139/ssrn.2520075.
Cowles, A. and Jones, H.E. (1937) “Some a posteriori probabilities in stock market action,” Econometrica, 5(3), p. 280. Available at: https://doi.org/10.2307/1905515.
Da, Z., Gurun, U.G. and Warachka, M. (2014) “Frog in the PAN: Continuous information and Momentum,” Review of Financial Studies, 27(7), pp. 2171–2218. Available at: https://doi.org/10.2139/ssrn.2370931.
Dennehy, B. (2021) “The History Of Momentum Investing – Two Centuries Of Pedigree,” Fund Expert, 10 September. Available at: https://www.fundexpert.co.uk/fundresearch/blogs/view,the-history-of-momentum-investing-two-centuries-of-pedigree_1803.htm (Accessed: November 2, 2022).
Dimson, E., Marsh, P. and Staunton, M. (2008) “108 Years of Momentum Profits,” SSRN Electronic Journal [Preprint]. Available at: https://doi.org/10.2139/ssrn.1102783.
Du, D. (2012) “Momentum and behavioral finance,” Managerial Finance, 38(4), pp. 364–379. Available at: https://doi.org/10.1108/03074351211207527.
Dudler, M., Gmuer, B. and Malamud, S. (2014) “Risk adjusted time series momentum,” SSRN Electronic Journal [Preprint]. Available at: https://doi.org/10.2139/ssrn.2457647.
D’Souza, I. et al. (2016) “The enduring effect of time-series momentum on stock returns over nearly 100-years,” SSRN Electronic Journal [Preprint]. Available at: https://doi.org/10.2139/ssrn.2720600.
Fama, E.F. and French, K.R. (2012) “Size, value, and momentum in International Stock Returns,” Journal of Financial Economics, 105(3), pp. 457–472.
Fama, Eugene (1998) “Market Efficiency, Long-Term Returns, and Behavioral Finance”, Journal of Financial Economics 49: 283-306.
Fama, Eugene F., and Kenneth R. French (2008) “Dissecting Anomalies,” The Journal of Finance 63(4), 1653–1678
Fisher, G.S., Shah, R. and Titman, S. (2014) “Combining value and momentum,” Journal of Investment Management [Preprint]. Available at: https://doi.org/10.2139/ssrn.2472936.
Frazzini, A., Israel, R. and Moskowitz, T.J. (2012) “Trading costs of asset pricing anomalies,” SSRN Electronic Journal [Preprint]. Available at: https://doi.org/10.2139/ssrn.2294498.
Frazzini, Andrea (2006), “The Disposition Effect and Underreaction to News,” The Journal of Finance, 61(4), 2017–2046
Gartley, H.M. (1945) “Relative velocity statistics: Their application in portfolio analysis,” Financial Analysts Journal, 1(2), pp. 60–64. Available at: https://doi.org/10.2469/faj.v1.n2.60.
Geczy, C. and Samonov, M. (2015) “215 years of Global Multi-Asset Momentum: 1800-2014 (equities, sectors, currencies, bonds, commodities and stocks),” SSRN Electronic Journal [Preprint]. Available at: https://doi.org/10.2139/ssrn.2607730.
Geczy, C.C. and Samonov, M. (2016) “Two centuries of price-return momentum,” Financial Analysts Journal, 72(5), pp. 32–56. Available at: https://doi.org/10.2469/faj.v72.n5.1.
George, T.J. and Hwang, C.-Y. (2004) “The 52-week high and momentum investing,” The Journal of Finance, 59(5), pp. 2145–2176. Available at: https://doi.org/10.1111/j.1540-6261.2004.00695.x.
Grant, A. (2020) “Behavioural finance and Momentum,” Market Momentum, pp. 1–15. Available at: https://doi.org/10.1002/9781119599364.ch1.
Griffin, J.M., Ji, S. and Martin, J.S. (2001) “Momentum investing and business cycle risk: Evidence from pole to Pole,” SSRN Electronic Journal [Preprint]. Available at: https://doi.org/10.2139/ssrn.291225.
Griffin, John M., Xiuquing Ji and J. Spencer Martin (2005) “Global Momentum Strategies: A Portfolio Perspective,” The Journal of Portfolio Management, 31(2), 23–39
Grinblatt, Mark, and Bing Han. (2005) “Prospect Theory, Mental Accounting and Momentum,” Journal of Financial Economics, 78(2), 311–339
Grundy, B.D. and Martin, J.S. (2001) “Understanding the nature of the risks and the source of the rewards to momentum investing,” Review of Financial Studies, 14(1), pp. 29–78. Available at: https://doi.org/10.1093/rfs/14.1.29.
Gutierrez, Roberto, and Eric Kelley (2008) “The Long-Lasting Momentum in Weekly Returns”, Journal of Finance, 63(1): 415-447.
Hanauer, M.X. and Windmüller, S. (2023) “Enhanced momentum strategies,” Journal of Banking & Finance, 148, p. 106712. Available at: https://doi.org/10.1016/j.jbankfin.2022.106712.
Hanna, Douglas, and Mark Ready (2005) “Profitable Predictability in the Cross Section of Stock Returns”, Journal of Financial Economics, 78(3): 463-505.
Ho, H.-C. and Wang, H.-C. (2018) “Momentum lost and found in corporate bond returns,” Journal of Financial Markets, 38, pp. 60–82. Available at: https://doi.org/10.1016/j.finmar.2017.10.003.
Hoffstein, C. (2018) “Two Centuries of Momentum,” Flirting with Models. The Research Library of Newfound Research, 28 March. Available at: https://blog.thinknewfound.com/2018/03/two-centuries-of-momentum/ (Accessed: November 2, 2022).
Hon, Mark, and Ian Tonks (2003) “Momentum in the UK Stock Market”, Multinational Financial Management, 13:43- 70.
Hong, H. and Stein, J.C. (1999) “A unified theory of underreaction, momentum trading, and overreaction in asset markets,” The Journal of Finance, 54(6), pp. 2143–2184. Available at: https://doi.org/10.1111/0022-1082.00184.
Hong, Harrison, Terence Lim, and Jeremy Stein (2000) “Bad News Travel Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies”, Journal of Finance, 55: 265-295.
Hurst, B., Ooi, Y.H. and Pedersen, L.H. (2017) “A century of evidence on trend-following investing,” The Journal of Portfolio Management, 44(1), pp. 15–29. Available at: https://doi.org/10.3905/jpm.2017.44.1.015.
Hurst, G. and Docherty, P. (2015) “Trend salience, investor behaviours and momentum profitability,” Pacific-Basin Finance Journal, 35, pp. 471–484. Available at: https://doi.org/10.1016/j.pacfin.2015.08.001.
Hutchinson, M.C. and O'Brien, J.J. (2014) “Is this time different? Trend following and financial crises,” Journal of Alternative Investments, 17(2), pp. 82–102. Available at: https://doi.org/10.2139/ssrn.2375733.
Hvidkjaer, Soeren (2006) “A Trade-Based Analysis of Momentum,” The Review of Financial Studies 19(2), 457–491
Iwanaga, Y. and Sakemoto, R. (2022) “Commodity momentum decomposition,” Journal of Futures Markets [Preprint]. Available at: https://doi.org/10.1002/fut.22382.
Jacobs, H., Regele, T. and Weber, M. (2015) “Expected skewness and momentum,” SSRN Electronic Journal [Preprint]. Available at: https://doi.org/10.2139/ssrn.2600014.
Jegadeesh, N. and Titman, S. (1993) “Returns to buying winners and selling losers: Implications for Stock Market Efficiency,” The Journal of Finance, 48(1), pp. 65–91.
Jegadeesh, Narasimhan, and Sheridan Titman (2001) “Profitability of Momentum Strategies: an Evaluation of Alternative Explanations”, Journal of Finance, 56: 699-720.
Jegadeesh, Narasimhan, and Sheridan Titman (2002) “Cross-Sectional and Time Series Determinants of Momentum Returns”, Review of Financial Studies, 15: 143-157.
Johnson, T.C. (2002) “Rational momentum effects,” The Journal of Finance, 57(2), pp. 585–608. Available at: https://doi.org/10.1111/1540-6261.00435.
Jostova, G. et al. (2013) “Momentum in corporate bond returns,” Review of Financial Studies, 26(7), pp. 1649–1693. Available at: https://doi.org/10.1093/rfs/hht022.
Keim, D.B. and Stambaugh, R.F. (1986) “Predicting returns in the stock and Bond Markets,” Journal of Financial Economics, 17(2), pp. 357–390. Available at: https://doi.org/10.1016/0304-405x(86)90070-x.
King, M., Silver, O. and Guo, B. (2002) “Passive Momentum Asset Allocation,” The Journal of Wealth Management, 5(3), pp. 34–41. Available at: https://doi.org/10.3905/jwm.2002.320453.
Korajczyk, R.A. and Sadka, R. (2004) “Are momentum profits robust to trading costs?,” The Journal of Finance, 59(3), pp. 1039–1082. Available at: https://doi.org/10.1111/j.1540-6261.2004.00656.x.
Lee, Charles M.C., Bhaskaran Swaminathan (2000) “Price Momentum and Trading Volume,” The Journal of Finance, 55(5), 2017–2070
Lempérière, Y. et al. (2014) “Two centuries of trend following,” The Journal of Investment Strategies, 3(3), pp. 41–61. Available at: https://doi.org/10.21314/jois.2014.043.
Levine, A. and Pedersen, L.H. (2015) “Which trend is your friend?,” SSRN Electronic Journal [Preprint]. Available at: https://doi.org/10.2139/ssrn.2603731.
Levy, Robert (1967) “Relative Strength as a Criterion for Investment Selection”, Journal of Finance, 22: 595:610.
Li, Xiafei, Chris Brooks, and Joelle Miffre (2007) “Low-Cost Momentum Strategies”, EDHEC Business School working paper (August).
Liew, J. and Vassalou, M. (1999) “Can book-to-market, size, and momentum be risk factors that predict economic growth?,” SSRN Electronic Journal [Preprint]. Available at: https://doi.org/10.2139/ssrn.159293.
Liu, L.X. and Zhang, L. (2008) “Momentum profits, Factor Pricing, and macroeconomic risk,” Review of Financial Studies, 21(6), pp. 2417–2448. Available at: https://doi.org/10.1093/rfs/hhn090.
Liu, M., Liu, Q. and Ma, T. (2011) “The 52-week high momentum strategy in International Stock Markets,” Journal of International Money and Finance, 30(1), pp. 180–204. Available at: https://doi.org/10.1016/j.jimonfin.2010.08.004.
Liu, Weimin, Norman Strong, and Xinzhiong Xu (1999) “The Profitability of Momentum Investing”, Journal of Business Finance & Accounting, 26(9): 1043-1091.
Luu, B.V. and Yu, P. (2012) “Momentum in government-bond markets,” The Journal of Fixed Income, 22(2), pp. 72–79. Available at: https://doi.org/10.3905/jfi.2012.22.2.072.
Marshall, B.R., Nguyen, N.H. and Visaltanachoti, N. (2016) “Time series momentum and moving average trading rules,” Quantitative Finance, 17(3), pp. 405–421. Available at: https://doi.org/10.1080/14697688.2016.1205209.
Menkhoff, L. et al. (2011) “Currency momentum strategies,” SSRN Electronic Journal [Preprint]. Available at: https://doi.org/10.2139/ssrn.1971680.
Miffre, J. and Rallis, G. (2006) “Momentum Strategies in Commodity Futures Markets,” SSRN Electronic Journal [Preprint]. Available at: https://doi.org/10.2139/ssrn.702281.
Moskowitz, T.J. (2010) “Explanations for the momentum premium”, AQR Capital Management. Available at: https://www.aqr.com/Insights/Research/White-Papers/Explanations-for-the-Momentum-Premium (Accessed: November 2, 2022).
Moskowitz, T.J. and Grinblatt, M. (1999) “Do industries explain momentum?,” The Journal of Finance, 54(4), pp. 1249–1290. Available at: https://doi.org/10.1111/0022-1082.00146.
Moskowitz, T.J., Ooi, Y.H. and Pedersen, L.H. (2012) “Time Series Momentum,” Journal of Financial Economics, 104(2), pp. 228–250. Available at: https://doi.org/10.1016/j.jfineco.2011.11.003.
Narayan, P.K., Ahmed, H.A. and Narayan, S. (2014) “Do momentum-based trading strategies work in the Commodity Futures Markets?,” Journal of Futures Markets, 35(9), pp. 868–891. Available at: https://doi.org/10.1002/fut.21685.
Novy-Marx, R. (2012) “Is momentum really momentum?,” Journal of Financial Economics, 103(3), pp. 429–453. Available at: https://doi.org/10.1016/j.jfineco.2011.05.003.
Novy-Marx, R. (2015) “Fundamentally, momentum is fundamental momentum.” Available at: https://doi.org/10.3386/w20984.
Novy-Marx, R. and Velikov, M. (2016) “A taxonomy of anomalies and their trading costs,” Review of Financial Studies, 29(1), pp. 104–147. Available at: https://doi.org/10.3386/w20721.
Pirrong, C. (2005) “Momentum in futures markets,” SSRN Electronic Journal [Preprint]. Available at: https://doi.org/10.2139/ssrn.671841.
Rouwenhorst, K.G. (1998) “International Momentum Strategies” The Journal of Finance, 53(1), pp. 267–284. Available at: https://doi.org/10.1111/0022-1082.95722.
Shiller, R.J. (2003) “From efficient markets theory to behavioral finance,” Journal of Economic Perspectives, 17(1), pp. 83–104. Available at: https://doi.org/10.1257/089533003321164967.
Sias, R. (2007) “Causes and seasonality of momentum profits,” Financial Analysts Journal, 63(2), pp. 48–54. Available at: https://doi.org/10.2469/faj.v63.n2.4521.
Siganos, Antonios (2007) “Momentum Returns and Size of Winner and Loser Portfolios”, Applied Financial Economics, 17: 701-708.
Szakmary, A.C., Shen, Q. and Sharma, S.C. (2010) “Trend-following trading strategies in Commodity Futures: A re-examination,” Journal for Banking & Finance, 34(2), pp. 409–426. Available at: https://doi.org/10.1016/j.jbankfin.2009.08.004.
Wahal, S. and Goyal, A. (2012) “Is momentum an echo?,” SSRN Electronic Journal [Preprint]. Available at: https://doi.org/10.2139/ssrn.1935601.
Wiggins, J. (2022) “Most of Us Are Secret Momentum Investors”, 30 August. Available at: https://behaviouralinvestment.com/2022/08/30/most-of-us-are-secret-momentum-investors/ (Accessed: November 6, 2022).
Zaremba, A. and Kambouris, G. (2018) “The sources of momentum in International Government Bond Returns,” Applied Economics, 51(8), pp. 848–857. Available at: https://doi.org/10.1080/00036846.2018.1524132.
Books describing strategies for financial markets which are based on momentum investing principles
Chestnutt, G.A. (1961) Stock Market Analysis: Facts and principles. Greenwich, Conn,: Chestnutt Corp.
Darvas, N. (2015) How I Made $2 Million in the Stock Market. Petersfield: Harriman House.
Gartley, H.M. (1935) Profits in the Stock Market. Pomeroy, WA: Lambert-Gann Pub. Co.
Haller, G. (1965) The Haller Theory of Stock Market Trends. West Palm Beach, Fla.
Lefèvre, E. (1923) Reminiscences of a Stock Operator. Windsor, Ontario: Auroch Press, Publishers.
Levy, R.A. (1968) The relative strength concept of common stock price forecasting: An evaluation of selected applications of stock market timing techniques, trading tactics, and trend analysis. Larchmont/N.Y.: Investors Intelligence.
O'Neil, W.J. (2009) How to Make Money in Stocks: A Winning System in Good Times or Bad. New York, NY: McGraw-Hill Professional.
Rhea, R. (1932) The Dow Theory: An explanation of its development and an attempt to define its usefulness as an aid in speculation. Snowball Publishing.
Seamans, G. (1939) The Seven Pillars of Stock Market Success. Brightwaters NY: Windsor Books.
Wyckoff, R.D. (1924) How I trade and invest in stocks and bonds: Being some methods evolved and adopted during my thirty-three years experience in Wall Street. New York.