Momentum investing: a systematic literature review and bibliometric analysis
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Momentum investing: a systematic literature review and bibliometric analysis Simarjeet Singh1 · Nidhi Walia1 Received: 15 December 2019 / Accepted: 23 October 2020 © Springer Nature Switzerland AG 2020
Abstract This comprehensive research study aims to highlight the evolution of momentum investing research and identify the mature and emerging themes in momentum investing. This study reviews 532 research studies published between 1993 and 2019. The study uses a combination of various bibliometric and network analysis tools to identify the most influential research studies, key journals and leading authors. Bibliometric and network analysis also help in the broader classification of research studies into four major categories. Further, a rigorous investigation of these research studies identifies various loopholes and propose actionable themes for nextgeneration research. Keywords Momentum investing · Bibliometric analysis · Citation analysis · Content analysis JEL Classification G1 · G3 · G12 · G14
1 Introduction Earlier in 1970, financial researchers believed that stock prices follow random walk (Kassouf 1968; Fama 1970; Leuthold 1972; Solnik 1973). They believed that any apparent pattern in the stock prices is the result of data snooping and past information cannot be used to predict future stock prices. These kinds of views reflect the idea of the efficient market hypothesis proposed by Fama (1970). Nevertheless, in the last 25 years, this hypothesis has faced a lot of criticism in the form of various market anomalies (Basu 1983; Jegadeesh and Titman 1993; Sloan 1996; Heston et al. 1999; Chan and Lakonishok 2004). Out of these anomalies, momentum has * Simarjeet Singh [email protected] Nidhi Walia [email protected] 1
University School of Applied Management, Punjabi University, Patiala, India
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gained maximum attention both from financial researchers and industry practitioners (Blitz et al. 2020). The popularity of the momentum can be judged from the fact that Eugene Fama termed it as “premier anomaly”. In simple words, momentum means the continuation of the trend (Zaremba and “Koby” 2018). Initially, Levy (1967) introduces the term “relative strength” as an earlier form of momentum. However, the momentum got attention after the influential work of Jegadeesh and Titman (1993) titled “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency”. Jegadeesh and Titman (1993) notice that stocks with higher past returns continue to have the superior future return over the next 3–12 months and stocks with lower past returns continue to exhibit lower future returns over the next few months. They suggest that by buying past winners and selling past losers, investors can earn significant profits. Academic studies have proved the efficacy of momentum strategies across different geographical markets and asset classes (Rouwenhorst 1998; Griffin et al. 2003; Chui et al. 2010; Menkhoff et al. 2012; Asness et al. 2013; Bianchi e
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