Momentum Everywhere, Including In Factors

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Momentum Everywhere, Including In Factors

Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well (poorly) in the future, at least for a short period of time. In 1997, Mark Carhart, in his study, “On Persistence in Mutual Fund Performance,” was the first to use momentum, together with the three Fama–French factors (market beta, size and value), to explain mutual fund returns. Initial research on momentum was published by Narasimhan Jegadeesh and Sheridan Titman, authors of the 1993 study, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.”(1