Momentum Bibliography

May 28, 2014
  • Contributors:

    AQR Capital Management
  • Topic:

    Momentum Investing

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 S., 1994, “Variables That Explain Stock Returns,” dissertation, University of Chicago

Asness, Cliff S., 1997, “The Interaction Between Value and Momentum Strategies,” Financial Analysts Journal 53(2), 29–36

Asness, Cliff S., Burt Porter and Ross L. Stevens, 2000, “Predicting Stock Returns Using Industry-Relative Firm Characteristics,” working paper, AQR Capital Management

Asness, Cliff S., 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 S., 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

  • The views and opinions expressed herein are those of the author and do not necessarily reflect the views of AQR Capital Management, LLC, its affiliates or its employees.
  • The information contained herein is only as current as of the date indicated, and may be superseded by subsequent market events or for other reasons. Neither the author nor AQR undertakes to advise you of any changes in the views expressed herein.
  • This information is not intended to, and does not relate specifically to any investment strategy or product that AQR offers. It is being provided merely to provide a framework to assist in the implementation of an investor’s own analysis and an investor’s own view on the topic discussed herein.
  • Past performance is no guarantee of future results.
  • Certain publications may have been written prior to the author being an employee of AQR.