Momentum
Momentum Bibliography
May 28, 2014
Topics - Momentum
Here is a selected list of books, journal articles and working papers that we found helpful in developing our research around Momentum strategies.
Asness, Cliff, 1994, “Variables That Explain Stock Returns,” dissertation, University of Chicago
Asness, Cliff, 1997, “The Interaction Between Value and Momentum Strategies,” Financial Analysts Journal 53(2), 29–36
Asness, Cliff, Burt Porter and Ross L. Stevens, 2000, “Predicting Stock Returns Using Industry-Relative Firm Characteristics,” working paper, AQR Capital Management
Asness, Cliff, John M. Liew and Ross L. Stevens, 1997, “Parallels Between the Cross-Sectional Predictability of Stock and Country Returns,” The Journal of Portfolio Management 23(3), 79–87
Asness, Cliff, Tobias J. Moskowitz and Lasse H. Pedersen, 2013, “Value and Momentum Everywhere,” The Journal of Finance, 68(3), 929–985
Barberis, Nicholas, Andrei Shleifer and Robert Vishny, 1998, “A Model of Investor Sentiment,” Journal of Financial Economics 49(3), 307–343
Carhart, Mark M., 1997, “On Persistence in Mutual Fund Performance,” The Journal of Finance 53(1), 57–82
Chan, Louis K.C., Narasimhan Jegadeesh and Josef Lakonishok, 1996, “Momentum Strategies,” The Journal of Finance 51(5), 1681–1713
Daniel, Kent, David Hirshleifer and Avanidhar Subrahmanyam, 1998, “Investor Psychology and Security Market Under- and Overreactions,” The Journal of Finance 53(6), 1839–1886
Fama, Eugene F., and Kenneth R. French, 1996, “Multifactor Explanations of Asset Pricing Anomalies,” The Journal of Finance 51(1), 55–84
Fama, Eugene F., and Kenneth R. French, 2008, “Dissecting Anomalies,” The Journal of Finance 63(4), 1653–1678
Frazzini, Andrea, 2006, “The Disposition Effect and Underreaction to News,” The Journal of Finance, 61(4), 2017–2046
Griffin, John M., Xiuquing Ji and J. Spencer Martin, 2005, “Global Momentum Strategies: A Portfolio Perspective,” The Journal of Portfolio Management, 31(2), 23–39
Grinblatt, Mark, and Bing Han, 2005, “Prospect Theory, Mental Accounting and Momentum,” Journal of Financial Economics, 78(2), 311–339
Grinblatt, Mark, and Tobias J. Moskowitz, 2004, “Predicting Stock Price Movements from Past Returns: The Role of Consistency and Tax-Loss Selling,” Journal of Financial Economics, 71(3), 541–579
Grundy, B.D., and J.S. Martin, 2001, “Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing,” The Review of Financial Studies 14(1), 29–78
Hong, Harrison, and Jeremy C. Stein, 1999, “A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets,” The Journal of Finance, 54(6), 2143–2184
Hong, Harrison, Terence Lim, Jeremy C. Stein, 1999, “Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies,” The Journal of Finance, 55(1), 265–296
Hvidkjaer, Soeren, 2006, “A Trade-Based Analysis of Momentum,” The Review of Financial Studies 19(2), 457–491
Jegadeesh, Narasimhan, and Sheridan Titman, 1993, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” The Journal of Finance 48(1), 65–91
Jegadeesh, Narasimhan, and Sheridan Titman, 2001, “Profitability of Momentum Strategies: An Evaluation of Alternative Explanations,” The Journal of Finance, 56(2), 699–720
Lee, Charles M.C., Bhaskaran Swaminathan, 2000, “Price Momentum and Trading Volume,” The Journal of Finance, 55(5), 2017–2070
Moskowitz, Tobias J., Mark Grinblatt, 1999, “Do Industries Explain Momentum?” The Journal of Finance 54(4), 1249–1290
Rouwenhorst, K. Geert, 1998, “International Momentum Strategies,” The Journal of Finance 53(1), 267–284
Rouwenhorst, K. Geert, 1999, “Local Return Factors and Turnover in Emerging Stock Markets,” The Journal of Finance, 54(4), 1439–1464
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