26 Pages Posted: 12 May 2014 Last revised: 3 Oct 2014
Date Written: May 9, 2014
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.
Keywords: Momentum, Value, Market efficiency
JEL Classification: G11, G12
Suggested Citation: Suggested Citation
Asness, Clifford S. and Frazzini, Andrea and Israel, Ronen and Moskowitz, Tobias J., Fact, Fiction and Momentum Investing (May 9, 2014). Journal of Portfolio Management, Fall 2014 (40th Anniversary Issue); Fama-Miller Working Paper. Available at SSRN: https://ssrn.com/abstract=2435323 or http://dx.doi.org/10.2139/ssrn.2435323