Abstract

The momentum effect is defined as a stock market tendency of assets with good past performance to continue to overperform in the future. Having comprehensively reviewed both the theoretical and empirical foundation, Zaremba and Shemer break down momentum strategies into standard momentum, intermediate momentum, moving averages, time-series momentum (absolute momentum), and technical analysis, additionally improving the strategies by sorts on liquidity, size, or book-to-market ratio. The momentum effect is typically explained by behavioral effects: anchoring, disposition effect, herd behavior, feedback trading, or confirmation bias.

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