Is momentum really momentum

By Robert Novy-Marx. 2012

449 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/8a1ffd13efc8ab3a547aeef303731c6489d3c791

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In Management Science and Operations Research

Citations in the corpus

Information Percolation, Momentum and Reversal (2014, unknown): “In that respect, the existence of a bias in our model suggests a possible way of validating the model empirically by comparing the two definitions; it also provides an alternative approach to rationalize the term structure of momentum documented in Novy-Marx (2012).”
Value and Momentum Everywhere: Value and Momentum Everywhere (2013, unknown): “8 Novy-Marx (2012) shows that the past 7- to 12-month return is a better momentum predictor in U.S. stocks than the past 2- to 6-month return, though the past 2- to 6-month return is still a Value and Momentum Everywhere 937 For all other asset classes, we attempt to define similar value and…”
Tree-Based Conditional Portfolio Sorts: The Relation between Past and Future Stock Returns (2016, unknown): “Or the most recent six (Novy-Marx (2012))?”
The History of the Cross Section of Stock Returns (2016, unknown): “Novy-Marx (2013) examines the predictive power of gross profitability using return data from July 1963 through December 2010.”
The Role of Shorting, Firm Size, and Time on Market Anomalies (2013, background): “However, across all size groups we cannot reject that the abnormal profits to value and momentum trading are generated equally by long and short positions.”
Dissecting Characteristics Nonparametrically (2020, unknown): “The capital asset pricing model (CAPM) of Sharpe (1964), Lintner (1965), and Mossin (1966) predicts that an asset’s beta with respect to the market portfolio is a sufficient statistic for the cross section of expected returns.”
Market Efficiency in the Age of Big Data (2019, unknown): “…decade sample, the in-sample coefficient estimates pick up the most prominent past return-based anomalies in the literature, including momentum ( Jegadeesh and Titman, 1993; Novy-Marx, 2012 ), long-term reversals ( DeBondt and Thaler, 1985 ), and momentum seasonality ( Heston and Sadka, 2008 ).”
Fact, Fiction, and Momentum Investing (2014, unknown): “26 Some behavioral models that deliver momentum: DeLong, Shleifer, Summers, and Waldmann (1990), Daniel, Hirshleifer, and Subrahmanyam (1998), Barberis, Shleifer, and Vishny (1998), Hong and Stein (1999), Shefrin and Statman (1985), Grinblatt and Han (2005), and Frazzini (2006). 27 Some risk-based m”