Swing Trading Signals


Since 2013

  • 100% Quantified, data-driven and Backtested
  • We always show our results!
  • Signals every day via our site or email
  • Cancel at any time!

Fact, Fiction and Momentum Investing

Last Updated on 10 February, 2024 by Rejaul Karim

In the research paper “Fact, Fiction and Momentum Investing,” Clifford S. Asness, Andrea Frazzini, Ronen Israel, and Tobias J. Moskowitz address the ongoing confusion and debates surrounding momentum investing since its academic discovery over 20 years ago.

Despite its widespread application, misconceptions about momentum’s efficacy and practicality have persisted. This study meticulously examines these misconceptions, providing clarity by documenting what is currently known about momentum and debunking ten widely circulating myths.

Drawing from well-established academic papers and straightforward publicly available data, the authors debunk common misunderstandings about momentum investing in order to foster a better understanding of its principles, advantages, and the role it plays in market efficiency.

Abstract Of Paper

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.

Original paper – Download PDF

Here you can download the PDF and original paper of Fact, Fiction and Momentum Investing.

(An option to download will come shortly)

Author

Clifford S. Asness
AQR Capital Management, LLC

Andrea Frazzini
AQR Capital Management, LLC

Ronen Israel
AQR Capital Management, LLC

Tobias J. Moskowitz
Yale University, Yale SOM; AQR Capital; National Bureau of Economic Research (NBER)

Conclusion

In conclusion, the research paper “Fact, Fiction and Momentum Investing” by Clifford S. Asness, Andrea Frazzini, Ronen Israel, and Tobias J. Moskowitz sheds light on the lingering confusion and debate surrounding the efficacy and practicality of momentum investing, more than 20 years after its academic discovery.

By systematically documenting the current understanding of momentum investing and debunking ten widely spread myths, the authors contribute to a clearer perception of momentum investing in the context of market efficiency and value.

Drawing from established academic research and straightforward publicly available data, this study provides valuable insights and vital clarifications, encouraging informed decision-making and a deeper understanding of momentum investing for practitioners and academics alike.

Related Reading:

Size, Value, and Momentum in Developed Country Equity Returns: Macroeconomic and Liquidity Exposures

Implementing Momentum: What Have We Learned?

FAQ

Q1: What is the main focus of the research paper “Fact, Fiction and Momentum Investing” by Clifford S. Asness, Andrea Frazzini, Ronen Israel, and Tobias J. Moskowitz?

The research paper aims to address the ongoing confusion and debates surrounding momentum investing, more than 20 years after its academic discovery. The authors systematically examine and debunk ten widely circulating myths about momentum investing, providing clarity on its efficacy, principles, and practical use as an investment tool.

Q2: How does the paper contribute to understanding momentum investing?

The paper contributes to a clearer understanding of momentum investing by documenting what is currently known about the strategy and dispelling common misconceptions. The authors draw on well-established academic papers and straightforward publicly available data to refute ten myths about momentum, fostering better comprehension of its principles and advantages.

Q3: Who are the authors of the paper, and what are their affiliations?

The authors of the paper are Clifford S. Asness, Andrea Frazzini, Ronen Israel, and Tobias J. Moskowitz. They are affiliated with AQR Capital Management, LLC (Clifford S. Asness and Andrea Frazzini) and Yale University, Yale SOM; AQR Capital; National Bureau of Economic Research (NBER) (Tobias J. Moskowitz).

Check The Leading Resource On The Internet For Research And Academic Papers

Leave a Reply

{"email":"Email address invalid","url":"Website address invalid","required":"Required field missing"}

Monthly Trading Strategy Club

$42 Per Strategy

>

Login to Your Account



Signup Here
Lost Password