AgPa #79: The Momentum OGs – 30 Years Later

Momentum: Evidence and insights 30 years later (2023)
Narasimhan Jegadeesh, Sheridan Titman
Pacific-Basin Finance Journal, URL/SSRN

Momentum is one of the strongest phenomena in financial markets. Narasimhan Jegadeesh and Sheridan Titman were among the first who documented the factor in the academic literature back in 1993. Now, 30 years later, they wrote a little overview about what happened since then. In this week’s AGNOSTIC Paper, they particularly focus on Asian stock markets and the potential explanations for sustained momentum profits. Having a good idea why someone takes the other side of a winning trade is crucial to really understand a strategy and I think this paper is quite interesting in this respect.

  • Momentum worked internationally and out-of-sample
  • Momentum is most likely not data mining
  • The evidence speaks against risk-based explanations
  • Underreaction and noise traders seem a plausible explanation

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