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Momentum investing: A survey

Author

Listed:
  • Laurens Swinkels

    (Office 16-26, Quantitative Research, Robeco Group)

Abstract

Research on the profitability of stock return momentum strategies has been very active in the past decade. This paper gives an overview of this strand of literature. It discusses the empirical results and research methods that have been used to obtain them. The momentum return is decomposed in order to find the driving force behind the momentum effect. In addition, a variety of explanations for the momentum effect, such as a compensation for risk or investor trading behaviour, are summarised. Some recent papers investigating the profitability of momentum strategies for institutional investors when explicitly taking transactions cost estimates into account are also touched upon.

Suggested Citation

  • Laurens Swinkels, 2004. "Momentum investing: A survey," Journal of Asset Management, Palgrave Macmillan, vol. 5(2), pages 120-143, August.
    • Handle: RePEc:pal:assmgt:v:5:y:2004:i:2:d:10.1057_palgrave.jam.2240133
    DOI: 10.1057/palgrave.jam.2240133
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    Citations

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    Cited by:

    1. Klaus Grobys & Sami Vähämaa, 2020. "Another look at value and momentum: volatility spillovers," Review of Quantitative Finance and Accounting, Springer, vol. 55(4), pages 1459-1479, November.
    2. Balakumar, Suganya & Dash, Saumya Ranjan & Maitra, Debasish & Kang, Sang Hoon, 2022. "Do oil price shocks have any implications for stock return momentum?," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 637-663.
    3. Benjamin R. Auer, 2021. "Have trend-following signals in commodity futures markets become less reliable in recent years?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(4), pages 533-553, December.
    4. LeBaron, Blake, 2012. "Wealth dynamics and a bias toward momentum trading," Finance Research Letters, Elsevier, vol. 9(1), pages 21-28.
    5. Laura Andreu & Laurens Swinkels & Liam Tjong-A-Tjoe, 2013. "Can exchange traded funds be used to exploit industry and country momentum?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(2), pages 127-148, June.
    6. Emilios C. C Galariotis, 2010. "What should investors know about the stability of momentum investing and its riskiness? The case of the Australian Security Exchange," Post-Print hal-00917587, HAL.
    7. Klaus Grobys & Sami Vähämaa, 0. "Another look at value and momentum: volatility spillovers," Review of Quantitative Finance and Accounting, Springer, vol. 0, pages 1-21.
    8. Galariotis, Emilios C., 2010. "What should we know about momentum investing? The case of the Australian Security Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 18(4), pages 369-389, September.
    9. Ivelina Pavlova & A. M. Parhizgari, 2011. "In search of momentum profits: are they illusory?," Applied Financial Economics, Taylor & Francis Journals, vol. 21(21), pages 1617-1639.
    10. Antoniou, Antonios & Lam, Herbert Y.T. & Paudyal, Krishna, 2007. "Profitability of momentum strategies in international markets: The role of business cycle variables and behavioural biases," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 955-972, March.
    11. Yasser Alhenawi, 2015. "On the interaction between momentum effect and size effect," Review of Financial Economics, John Wiley & Sons, vol. 26(1), pages 36-46, September.
    12. Garima Goel & Saumya Ranjan Dash & Mário Nuno Mata & António Bento Caleiro & João Xavier Rita & José António Filipe, 2021. "Economic Policy Uncertainty and Stock Return Momentum," JRFM, MDPI, vol. 14(4), pages 1-17, March.
    13. Chen Su, 2021. "A comprehensive investigation into style momentum strategies in China," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(1), pages 101-144, March.
    14. Enrica Bolognesi & Giuseppe Torluccio & Andrea Zuccheri, 2013. "A comparison between capitalization-weighted and equally weighted indexes in the European equity market," Journal of Asset Management, Palgrave Macmillan, vol. 14(1), pages 14-26, February.
    15. Alhenawi, Yasser, 2015. "On the interaction between momentum effect and size effect," Review of Financial Economics, Elsevier, vol. 26(C), pages 36-46.
    16. Omar Gharaibeh, 2017. "Strong and Weak Price Momentum Components: Evidence from 10 Arabic Market Indices," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 7(1), pages 151-161, January.

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