108 Years of Momentum Profits

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