Abstract:Clifford S. Asness
AQR Capital Management, LLCAndrea Frazzini
AQR Capital Management, LLCRonen Israel
AQR Capital Management, LLCTobias J. Moskowitz
University of Chicago - Booth School of Business
May 9, 2014
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.
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