Momentum Research Bibliography

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.

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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.

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