Momentum: Evidence and insights 30 years later

Since Jegadeesh and Titman (1993) documented the momentum effect in the US 30 years back, the literature has grown substantially. This paper evaluates various explanations for the phenomenon, which include the view that such evidence of market inefficiencies likely results from data mining, rational theories that suggest that past winners have greater exposure to systematic risk than past losers, and behavioral theories that provide rationales for why returns may underreact to information. We also review more recent literature, including several papers that appear in this issue, and provide an analysis of the post-2000 performance of momentum strategies in both the Pacific Basin and developed Western markets.