Abstract

http://ssrn.com/abstract=2435323
 


 



Fact, Fiction and Momentum Investing


Clifford S. Asness


AQR Capital Management, LLC

Andrea Frazzini


AQR Capital Management, LLC

Ronen Israel


AQR Capital Management, LLC

Tobias J. Moskowitz


University of Chicago - Booth School of Business

May 9, 2014

Forthcoming in the Journal of Portfolio Management.
Fama-Miller Working Paper

Abstract:     
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.

Number of Pages in PDF File: 26

Keywords: Momentum, Value, Market efficiency

JEL Classification: G11, G12

working papers series


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Date posted: May 12, 2014 ; Last revised: August 30, 2014

Suggested Citation

Asness, Clifford S. and Frazzini, Andrea and Israel, Ronen and Moskowitz, Tobias J., Fact, Fiction and Momentum Investing (May 9, 2014). Forthcoming in the Journal of Portfolio Management.; Fama-Miller Working Paper. Available at SSRN: http://ssrn.com/abstract=2435323 or http://dx.doi.org/10.2139/ssrn.2435323

Contact Information

Cliff S. Asness
AQR Capital Management, LLC ( email )
Two Greenwich Plaza, 3rd Floor
Greenwich, CT 06830
United States
203-742-3601 (Phone)
203-742-3101 (Fax)
HOME PAGE: http://www.aqrcapital.com
Andrea Frazzini
AQR Capital Management, LLC ( email )
Two Greenwich Plaza, 3rd Floor
Greenwich, CT 06830
United States
203-742-3894 (Phone)
203-742-3394 (Fax)
HOME PAGE: http://www.econ.yale.edu/~af227/
Ronen Israel (Contact Author)
AQR Capital Management, LLC ( email )
Greenwich, CT
United States
Tobias J. Moskowitz
University of Chicago - Booth School of Business ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
773-834-2757 (Phone)
773-702-0458 (Fax)
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