Momentum Anomalies

If you study the momentum anomaly and various research related to it, you will find:

1. Jegadeesh and Titman (1993) showed that there is substantial evidence that indicates that stocks that perform the best (worst) over a three to 12 month period tend to continue to perform well (poorly) over the subsequent three to 12 months. Momentum trading strategies that exploit this phenomenon have been consistently profitable in the United States and in most developed markets.
2. Moskowitz and Grinblatt (1999) found evidence of momentum in industry returns. They found that high momentum industries outperform low momentum industries in the next six-months.
3. Momentum profit reverse post 2 year holding periods.
4. Firms that are followed by fewer stock analysts exhibit greater momentum.
5. Like price momentum, stocks with high earnings momentum outperform stocks with low earnings momentum.
6. A momentum strategy that buys stock near their 52 week high is profitable.
7. Momentum effect is more pronounced in small stocks.