Knowledge (XXG)

Momentum (finance)

Source šŸ“

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is the empirically observed tendency for rising asset prices or securities return to rise further, and falling prices to keep falling. For instance, it was shown that stocks with strong past performance continue to outperform stocks with poor past performance in the next period with an average excess
66:. The explanation is that investors are irrational, in that they underreact to new information by failing to incorporate news in their transaction prices. However, much as in the case of 985: 50:
struggles to explain. The difficulty is that an increase in asset prices, in and of itself, should not warrant further increase. Such increase, according to the
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Daniel, K; Hirschleifer D; Subrahmanyam A (1998). "A Theory of Overconfidence, Self-Attribution, and Security Market Under and Over-reactions".
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return of about 1% per month. Momentum signals (e.g., 52-week high) have been used by financial analysts in their buy and sell recommendations.
971: 1216: 639: 545: 470: 1241: 620: 324: 947: 773: 697: 1235: 354: 133:
Jegadeesh, N; Titman S (1993). "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency".
1718: 1658: 1454: 1360: 490: 455: 1774: 1769: 1444: 1412: 1316: 1270: 1253: 1206: 317: 51: 1764: 1229: 1223: 651: 702: 460: 410: 84: 24: 874: 1618: 1293: 485: 663: 1572: 1433: 1328: 1211: 732: 645: 808: 1460: 605: 569: 415: 369: 1598: 1407: 790: 738: 615: 1733: 1653: 1418: 1402: 1365: 1247: 1190: 1158: 942: 886: 819: 555: 63: 55: 1663: 1608: 1532: 1392: 1322: 1151: 1124: 932: 749: 743: 596: 532: 514: 505: 465: 1512: 169: 1703: 1678: 1638: 1542: 1481: 1439: 1183: 1093: 1083: 855: 827: 340: 295: 260: 225: 150: 94: 89: 70:, other research has argued that momentum can be observed even with perfectly rational traders. 1567: 1552: 1304: 866: 796: 691: 550: 390: 1668: 1588: 1384: 1265: 1141: 1060: 1016: 994: 839: 778: 765: 726: 707: 420: 287: 252: 215: 207: 184: 142: 79: 118:(1999). "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations". 1743: 1738: 1673: 1648: 1583: 1557: 1537: 1496: 1491: 1486: 1471: 1466: 1354: 1288: 1280: 1168: 1055: 844: 833: 540: 475: 359: 115: 58:). Students of financial economics have largely attributed the appearance of momentum to 1698: 1693: 1593: 1578: 1339: 1334: 1299: 1098: 1065: 1011: 1003: 927: 880: 802: 679: 657: 480: 450: 445: 146: 59: 47: 43: 256: 1758: 1562: 1547: 1522: 1476: 1428: 1131: 1088: 1075: 1026: 902: 685: 495: 437: 299: 229: 264: 154: 1723: 1643: 1613: 1603: 1423: 1397: 1146: 1136: 1119: 1050: 1045: 1021: 952: 754: 631: 374: 67: 1728: 1708: 1688: 1683: 1628: 1517: 1449: 937: 907: 784: 582: 395: 291: 188: 1713: 1633: 1310: 1173: 674: 405: 400: 364: 19:
This article is about the concept related to asset prices. For other uses of
1349: 1344: 1259: 1178: 577: 54:, is warranted only by changes in demand and supply or new information (cf. 243:
Barberis, N; Shleifer A; Vishny R (1998). "A Model of Investor Sentiment".
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Crombez, J (2001). "Momentum, Rational Agents and Efficient Markets".
211: 1114: 309: 963: 1037: 668: 522: 967: 313: 849: 170:"The Role of Analysts' Forecasts in the Momentum Effect" 1505: 1380: 1279: 1199: 1107: 1074: 1035: 1001: 920: 895: 865: 818: 764: 717: 630: 604: 595: 568: 531: 513: 504: 436: 429: 383: 347: 280:The Journal of Psychology and Financial Markets 979: 325: 8: 986: 972: 964: 601: 510: 433: 332: 318: 310: 177:International Review of Financial Analysis 219: 106: 669:Moving average convergence/divergence 7: 147:10.1111/j.1540-6261.1993.tb04702.x 14: 1242:Electronic communication network 62:, which belong in the realm of 42:The existence of momentum is a 774:Accumulation/distribution line 245:Journal of Financial Economics 1: 1236:Multilateral trading facility 257:10.1016/S0304-405X(98)00027-0 168:Low, R.K.Y.; Tan, E. (2016). 1659:Returns-based style analysis 1455:Post-modern portfolio theory 1361:Security characteristic line 850:CBOE Market Volatility Index 491:Triple top and triple bottom 456:Double top and double bottom 1413:Efficient-market hypothesis 1317:Capital asset pricing model 1254:Straight-through processing 292:10.1207/S15327760JPFM0204_3 52:efficient-market hypothesis 1791: 1230:Alternative Trading System 658:Know sure thing oscillator 652:Detrended price oscillator 189:10.1016/j.irfa.2016.09.007 18: 640:Average directional index 85:Carhart four-factor model 25:Momentum (disambiguation) 1294:Arbitrage pricing theory 1573:Initial public offering 1434:Modern portfolio theory 1329:Dividend discount model 1212:List of stock exchanges 733:Relative strength index 646:Commodity channel index 1461:Random walk hypothesis 370:Elliott wave principle 1599:Market capitalization 1408:Dollar cost averaging 791:Negative volume index 739:Stochastic oscillator 616:Fibonacci retracement 1419:Fundamental analysis 1403:Contrarian investing 1366:Security market line 1271:Liquidity aggregator 1248:Direct market access 1159:Quantitative analyst 943:Ralph Nelson Elliott 887:McClellan oscillator 875:Advanceā€“decline line 556:Three white soldiers 64:behavioral economics 56:fundamental analysis 1664:Reverse stock split 1609:Market manipulation 1533:Dual-listed company 1393:Algorithmic trading 1323:Capital market line 1125:Inter-dealer broker 750:Ultimate oscillator 744:True strength index 411:Open-high-low-close 1775:Technical analysis 1770:Behavioral finance 1704:Stock market index 1543:Efficient frontier 1482:Technical analysis 1440:Momentum investing 1262:(private exchange) 1152:Proprietary trader 1094:Shares outstanding 1084:Authorised capital 856:Standard deviation 828:Average true range 809:Volumeā€“price trend 664:Ichimoku Kinkō Hyō 471:Head and shoulders 341:Technical analysis 204:Journal of Finance 135:Journal of Finance 120:NBER Working Paper 95:Technical analysis 90:Momentum investing 1765:Financial markets 1752: 1751: 1553:Flight-to-quality 1305:Buffett indicator 995:Financial markets 961: 960: 916: 915: 797:On-balance volume 692:Smart money index 591: 590: 564: 563: 551:Three black crows 212:10.2139/ssrn.2017 1782: 1669:Share repurchase 1381:Trading theories 1266:Crossing network 1224:Over-the-counter 1061:Restricted stock 1017:Secondary market 988: 981: 974: 965: 840:Donchian channel 779:Ease of movement 727:Money flow index 708:Vortex indicator 602: 570:Point and figure 511: 461:Flag and pennant 434: 416:Point and figure 334: 327: 320: 311: 304: 303: 275: 269: 268: 240: 234: 233: 223: 199: 193: 192: 174: 165: 159: 158: 130: 124: 123: 111: 80:Factor investing 60:cognitive biases 23:in finance, see 1790: 1789: 1785: 1784: 1783: 1781: 1780: 1779: 1755: 1754: 1753: 1748: 1739:Voting interest 1649:Public offering 1584:Mandatory offer 1558:Government bond 1538:DuPont analysis 1501: 1497:Value investing 1492:Value averaging 1487:Trend following 1472:Style investing 1467:Sector rotation 1382: 1376: 1355:Net asset value 1281:Stock valuation 1275: 1195: 1103: 1070: 1056:Preferred stock 1031: 997: 992: 962: 957: 912: 891: 861: 845:Keltner channel 834:Bollinger Bands 814: 760: 713: 626: 607: 587: 560: 541:Hikkake pattern 527: 500: 476:Island reversal 425: 379: 360:Dead cat bounce 343: 338: 308: 307: 277: 276: 272: 251:(49): 307ā€“343. 242: 241: 237: 201: 200: 196: 172: 167: 166: 162: 132: 131: 127: 113: 112: 108: 103: 76: 28: 17: 16:Term in finance 12: 11: 5: 1788: 1786: 1778: 1777: 1772: 1767: 1757: 1756: 1750: 1749: 1747: 1746: 1741: 1736: 1731: 1726: 1721: 1716: 1711: 1706: 1701: 1699:Stock exchange 1696: 1694:Stock dilution 1691: 1686: 1681: 1676: 1671: 1666: 1661: 1656: 1651: 1646: 1641: 1636: 1631: 1626: 1621: 1619:Mean reversion 1616: 1611: 1606: 1601: 1596: 1594:Market anomaly 1591: 1586: 1581: 1576: 1570: 1565: 1560: 1555: 1550: 1545: 1540: 1535: 1530: 1525: 1520: 1515: 1513:Bidā€“ask spread 1509: 1507: 1503: 1502: 1500: 1499: 1494: 1489: 1484: 1479: 1474: 1469: 1464: 1458: 1452: 1447: 1442: 1437: 1431: 1426: 1421: 1416: 1410: 1405: 1400: 1395: 1389: 1387: 1378: 1377: 1375: 1374: 1369: 1363: 1358: 1352: 1347: 1342: 1340:Earnings yield 1337: 1335:Dividend yield 1332: 1326: 1320: 1314: 1308: 1302: 1297: 1291: 1285: 1283: 1277: 1276: 1274: 1273: 1268: 1263: 1257: 1251: 1245: 1239: 1233: 1227: 1226:(off-exchange) 1221: 1220: 1219: 1214: 1203: 1201: 1200:Trading venues 1197: 1196: 1194: 1193: 1188: 1187: 1186: 1176: 1171: 1166: 1161: 1156: 1155: 1154: 1149: 1139: 1134: 1129: 1128: 1127: 1122: 1111: 1109: 1105: 1104: 1102: 1101: 1099:Treasury stock 1096: 1091: 1086: 1080: 1078: 1072: 1071: 1069: 1068: 1066:Tracking stock 1063: 1058: 1053: 1048: 1042: 1040: 1033: 1032: 1030: 1029: 1024: 1019: 1014: 1012:Primary market 1008: 1006: 999: 998: 993: 991: 990: 983: 976: 968: 959: 958: 956: 955: 950: 945: 940: 935: 930: 928:John Bollinger 924: 922: 918: 917: 914: 913: 911: 910: 905: 899: 897: 893: 892: 890: 889: 884: 878: 871: 869: 863: 862: 860: 859: 853: 847: 842: 837: 831: 824: 822: 816: 815: 813: 812: 806: 803:Put/call ratio 800: 794: 788: 782: 776: 770: 768: 762: 761: 759: 758: 752: 747: 741: 736: 730: 723: 721: 715: 714: 712: 711: 705: 700: 695: 689: 683: 680:Moving average 677: 672: 666: 661: 655: 649: 643: 636: 634: 628: 627: 625: 624: 618: 612: 610: 599: 593: 592: 589: 588: 586: 585: 580: 574: 572: 566: 565: 562: 561: 559: 558: 553: 548: 543: 537: 535: 529: 528: 526: 525: 519: 517: 508: 502: 501: 499: 498: 493: 488: 483: 481:Price channels 478: 473: 468: 463: 458: 453: 451:Cup and handle 448: 446:Broadening top 442: 440: 431: 427: 426: 424: 423: 418: 413: 408: 403: 398: 393: 387: 385: 381: 380: 378: 377: 372: 367: 362: 357: 351: 349: 345: 344: 339: 337: 336: 329: 322: 314: 306: 305: 286:(2): 190ā€“200. 270: 235: 194: 160: 125: 114:Jegadeesh, N; 105: 104: 102: 99: 98: 97: 92: 87: 82: 75: 72: 48:finance theory 44:market anomaly 15: 13: 10: 9: 6: 4: 3: 2: 1787: 1776: 1773: 1771: 1768: 1766: 1763: 1762: 1760: 1745: 1742: 1740: 1737: 1735: 1732: 1730: 1727: 1725: 1722: 1720: 1717: 1715: 1712: 1710: 1707: 1705: 1702: 1700: 1697: 1695: 1692: 1690: 1687: 1685: 1682: 1680: 1677: 1675: 1674:Short selling 1672: 1670: 1667: 1665: 1662: 1660: 1657: 1655: 1652: 1650: 1647: 1645: 1642: 1640: 1637: 1635: 1632: 1630: 1627: 1625: 1622: 1620: 1617: 1615: 1612: 1610: 1607: 1605: 1602: 1600: 1597: 1595: 1592: 1590: 1587: 1585: 1582: 1580: 1577: 1574: 1571: 1569: 1566: 1564: 1563:Greenspan put 1561: 1559: 1556: 1554: 1551: 1549: 1548:Financial law 1546: 1544: 1541: 1539: 1536: 1534: 1531: 1529: 1526: 1524: 1523:Cross listing 1521: 1519: 1516: 1514: 1511: 1510: 1508: 1506:Related terms 1504: 1498: 1495: 1493: 1490: 1488: 1485: 1483: 1480: 1478: 1477:Swing trading 1475: 1473: 1470: 1468: 1465: 1462: 1459: 1456: 1453: 1451: 1448: 1446: 1445:Mosaic theory 1443: 1441: 1438: 1435: 1432: 1430: 1429:Market timing 1427: 1425: 1422: 1420: 1417: 1414: 1411: 1409: 1406: 1404: 1401: 1399: 1396: 1394: 1391: 1390: 1388: 1386: 1379: 1373: 1370: 1367: 1364: 1362: 1359: 1356: 1353: 1351: 1348: 1346: 1343: 1341: 1338: 1336: 1333: 1330: 1327: 1324: 1321: 1318: 1315: 1312: 1309: 1306: 1303: 1301: 1298: 1295: 1292: 1290: 1287: 1286: 1284: 1282: 1278: 1272: 1269: 1267: 1264: 1261: 1258: 1255: 1252: 1249: 1246: 1243: 1240: 1237: 1234: 1231: 1228: 1225: 1222: 1218: 1217:Trading hours 1215: 1213: 1210: 1209: 1208: 1205: 1204: 1202: 1198: 1192: 1189: 1185: 1182: 1181: 1180: 1177: 1175: 1172: 1170: 1167: 1165: 1162: 1160: 1157: 1153: 1150: 1148: 1145: 1144: 1143: 1140: 1138: 1135: 1133: 1132:Broker-dealer 1130: 1126: 1123: 1121: 1118: 1117: 1116: 1113: 1112: 1110: 1106: 1100: 1097: 1095: 1092: 1090: 1089:Issued shares 1087: 1085: 1082: 1081: 1079: 1077: 1076:Share capital 1073: 1067: 1064: 1062: 1059: 1057: 1054: 1052: 1049: 1047: 1044: 1043: 1041: 1039: 1034: 1028: 1027:Fourth market 1025: 1023: 1020: 1018: 1015: 1013: 1010: 1009: 1007: 1005: 1000: 996: 989: 984: 982: 977: 975: 970: 969: 966: 954: 951: 949: 946: 944: 941: 939: 936: 934: 931: 929: 926: 925: 923: 919: 909: 906: 904: 903:Coppock curve 901: 900: 898: 894: 888: 885: 882: 879: 876: 873: 872: 870: 868: 864: 857: 854: 851: 848: 846: 843: 841: 838: 835: 832: 829: 826: 825: 823: 821: 817: 810: 807: 804: 801: 798: 795: 792: 789: 786: 783: 780: 777: 775: 772: 771: 769: 767: 763: 756: 753: 751: 748: 745: 742: 740: 737: 734: 731: 728: 725: 724: 722: 720: 716: 709: 706: 704: 701: 699: 696: 693: 690: 687: 686:Parabolic SAR 684: 681: 678: 676: 673: 670: 667: 665: 662: 659: 656: 653: 650: 647: 644: 641: 638: 637: 635: 633: 629: 622: 619: 617: 614: 613: 611: 609: 606:Support & 603: 600: 598: 594: 584: 581: 579: 576: 575: 573: 571: 567: 557: 554: 552: 549: 547: 544: 542: 539: 538: 536: 534: 530: 524: 521: 520: 518: 516: 512: 509: 507: 503: 497: 496:Wedge pattern 494: 492: 489: 487: 484: 482: 479: 477: 474: 472: 469: 467: 464: 462: 459: 457: 454: 452: 449: 447: 444: 443: 441: 439: 435: 432: 428: 422: 419: 417: 414: 412: 409: 407: 404: 402: 399: 397: 394: 392: 389: 388: 386: 382: 376: 373: 371: 368: 366: 363: 361: 358: 356: 353: 352: 350: 346: 342: 335: 330: 328: 323: 321: 316: 315: 312: 301: 297: 293: 289: 285: 281: 274: 271: 266: 262: 258: 254: 250: 246: 239: 236: 231: 227: 222: 221:2027.42/35542 217: 213: 209: 205: 198: 195: 190: 186: 182: 178: 171: 164: 161: 156: 152: 148: 144: 141:(48): 65ā€“91. 140: 136: 129: 126: 121: 117: 110: 107: 100: 96: 93: 91: 88: 86: 83: 81: 78: 77: 73: 71: 69: 68:price bubbles 65: 61: 57: 53: 49: 45: 40: 37: 33: 26: 22: 1724:Tender offer 1644:Public float 1623: 1614:Market trend 1604:Market depth 1424:Growth stock 1398:Buy and hold 1307:(Cap-to-GDP) 1147:Floor trader 1137:Market maker 1120:Floor broker 1108:Participants 1051:Golden share 1046:Common stock 1022:Third market 953:Mark Hulbert 718: 546:Morning star 375:Market trend 283: 279: 273: 248: 244: 238: 203: 197: 180: 176: 163: 138: 134: 128: 119: 109: 41: 35: 29: 20: 1729:Uptick rule 1709:Stock split 1689:Squeeze-out 1684:Speculation 1629:Open outcry 1518:Block trade 1450:Pairs trade 948:John Murphy 938:Charles Dow 908:Ulcer index 785:Force index 755:Williams %R 621:Pivot point 506:Candlestick 391:Candlestick 1759:Categories 1734:Volatility 1714:Stock swap 1634:Order book 1385:strategies 1311:Book value 1179:Arbitrager 1174:Speculator 881:Arms index 820:Volatility 698:Trend line 675:Mass index 608:resistance 597:Indicators 421:Line break 365:Dow theory 101:References 1350:Fed model 1345:EV/EBITDA 1260:Dark pool 1191:Regulator 1036:Types of 1002:Types of 933:Ned Davis 583:Bear trap 578:Bull trap 300:155049349 230:155014440 183:: 67ā€“84. 1679:Slippage 1639:Position 1624:Momentum 1528:Dividend 1207:Exchange 1164:Investor 921:Analysts 719:Momentum 642:(A.D.X.) 486:Triangle 430:Patterns 355:Breakout 348:Concepts 265:17623242 155:13713547 116:Titman S 74:See also 46:, which 36:momentum 21:momentum 1568:Haircut 1372:T-model 1184:Scalper 1004:markets 867:Breadth 533:Complex 122:(7159). 32:finance 1589:Margin 1457:(PMPT) 1319:(CAPM) 1169:Hedger 1142:Trader 1115:Broker 1038:stocks 883:(TRIN) 766:Volume 671:(MACD) 515:Simple 384:Charts 298:  263:  228:  206:(53). 153:  1744:Yield 1719:Trade 1654:Rally 1575:(IPO) 1463:(RMH) 1436:(MPT) 1415:(EMH) 1368:(SML) 1357:(NAV) 1331:(DDM) 1325:(CML) 1296:(APT) 1289:Alpha 1256:(STP) 1250:(DMA) 1244:(ECN) 1238:(MTF) 1232:(ATS) 896:Other 877:(ADL) 852:(VIX) 830:(ATR) 811:(VPT) 805:(PCR) 799:(OBV) 793:(NVI) 781:(EMV) 746:(TSI) 735:(RSI) 729:(MFI) 694:(SMI) 688:(SAR) 660:(KST) 654:(DPO) 648:(CCI) 632:Trend 438:Chart 396:Renko 296:S2CID 261:S2CID 226:S2CID 173:(PDF) 151:S2CID 1579:Long 1383:and 1313:(BV) 1300:Beta 836:(BB) 787:(FI) 757:(%R) 710:(VI) 703:Trix 682:(MA) 623:(PP) 523:Doji 406:Line 401:Kagi 858:(Ļƒ) 466:Gap 288:doi 253:doi 216:hdl 208:doi 185:doi 143:doi 30:In 1761:: 294:. 282:. 259:. 249:49 247:. 224:. 214:. 181:48 179:. 175:. 149:. 139:48 137:. 34:, 987:e 980:t 973:v 333:e 326:t 319:v 302:. 290:: 284:2 267:. 255:: 232:. 218:: 210:: 191:. 187:: 157:. 145:: 27:.

Index

Momentum (disambiguation)
finance
market anomaly
finance theory
efficient-market hypothesis
fundamental analysis
cognitive biases
behavioral economics
price bubbles
Factor investing
Carhart four-factor model
Momentum investing
Technical analysis
Titman S
doi
10.1111/j.1540-6261.1993.tb04702.x
S2CID
13713547
"The Role of Analysts' Forecasts in the Momentum Effect"
doi
10.1016/j.irfa.2016.09.007
doi
10.2139/ssrn.2017
hdl
2027.42/35542
S2CID
155014440
doi
10.1016/S0304-405X(98)00027-0
S2CID

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