108 Years of Momentum Profits

23 Pages Posted: 9 Mar 2008

See all articles by Elroy Dimson

Elroy Dimson

University of Cambridge - Judge Business School; European Corporate Governance Institute (ECGI)

Paul Marsh

London Business School - Institute of Finance and Accounting

Mike Staunton

London Business School - Institute of Finance and Accounting

Date Written: March 5, 2008

Abstract

Momentum - the tendency for stock returns to trend in the same direction - is a major puzzle. Fama and French describe it as the "premier anomaly". However, momentum could still be a regularity that does not endure out of sample. We test whether it is a persistent feature of financial markets by studying UK stock returns since 1900, as well as international returns spanning 17 countries. Momentum has been consistently profitable over the last 108 years, and is not subsumed by other factors. The momentum premium has been substantial not only across equities as a whole, but within size- and value-based partitions of the market. Momentum remains an enduring enigma.

Keywords: Momentum, anomaly, regularity, behavioral finance, financial history

JEL Classification: G12, G14, N00

Suggested Citation

Dimson, Elroy and Marsh, Paul and Staunton, Mike, 108 Years of Momentum Profits (March 5, 2008). EFA 2008 Athens Meetings Paper, Available at SSRN: https://ssrn.com/abstract=1102783 or http://dx.doi.org/10.2139/ssrn.1102783

Elroy Dimson (Contact Author)

University of Cambridge - Judge Business School ( email )

Trumpington Street
Cambridge, CB2 1AG
United Kingdom
+44 700 607 7390 (Fax)

European Corporate Governance Institute (ECGI) ( email )

c/o the Royal Academies of Belgium
Rue Ducale 1 Hertogsstraat
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Belgium

Paul Marsh

London Business School - Institute of Finance and Accounting ( email )

Sussex Place
Regent's Park
London NW1 4SA
United Kingdom

Mike Staunton

London Business School - Institute of Finance and Accounting ( email )

Sussex Place
Regent's Park
London NW1 4SA
United Kingdom

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