Abstract:...MUCH MORE (26 page PDF)
It’s been over 20 years since the academic discovery of momentum investing (Jegadeesh and Titman (1993), Asness (1994)), yet much confusion and debate remains regarding its efficacy and its use as a practical investment tool. In some cases “confusion and debate” is us attempting to be polite, as it is near impossible for informed practitioners and academics to still believe some of the myths uttered about momentum — but that impossibility is often belied by real world statements. In this article, we aim to clear up much of the confusion by documenting what we know about momentum and disproving many of the often-repeated myths. We highlight ten myths about momentum and refute them, using results from widely circulated academic papers and analysis from the simplest and best publicly available data.
HT: Abnormal Returns
Also HT AR: Claude Erb on "Momentum Has Not Been “Overgrazed”: A Visual Overview In 10 Slides"
Previously on the Erb channel: "Barron's on Gold and Real Interest Rates"
See also:
AQR's Cliff Asness at the CFA Institute: Size Hurts
AQR Capital's Cliff Asness on Market Efficiency
Many, many links
