Equity Market Momentum: A Synthesis of the Literature and Suggestions for Future Work

Posted: 8 Aug 2018

See all articles by Avanidhar Subrahmanyam

Avanidhar Subrahmanyam

University of California, Los Angeles (UCLA) - Finance Area; Institute of Global Finance, UNSW Business School; Financial Research Network (FIRN)

Date Written: July 20, 2018

Abstract

I review the literature on equity market momentum, a seminal and intriguing finding in finance. This phenomenon is the ability of returns over the past one to four quarters to predict future returns over the same period in the cross-section of equities. I am able to document about ten different theories for momentum, and a large volume of empirical work on the topic. I find, however, that after a quarter century following the discovery of momentum by Jegadeesh and Titman (1993), we are still no closer to finding a discernible cause for this phenomenon, in spite of the extensive work on the topic. More needs to be done to develop tests that are focused not so much on testing one specific theory, but on ruling out alternative explanations.

Keywords: momentum, market efficiency, cross-section of returns

JEL Classification: G10

Suggested Citation

Subrahmanyam, Avanidhar, Equity Market Momentum: A Synthesis of the Literature and Suggestions for Future Work (July 20, 2018). Pacific-Basin Finance Journal, Forthcoming. Available at SSRN: https://ssrn.com/abstract=3217368

Avanidhar Subrahmanyam (Contact Author)

University of California, Los Angeles (UCLA) - Finance Area ( email )

Los Angeles, CA 90095-1481
United States
310-825-5355 (Phone)
310-206-5455 (Fax)

Institute of Global Finance, UNSW Business School

Sydney, NSW 2052
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

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