Equity Market Momentum: A Synthesis of the Literature and Suggestions for Future Work
Bibliographic record
Abstract
I review the literature on equity market momentum, a seminal and intriguing finding in finance. This phenomenon is the ability of returns over the past one to four quarters to predict future returns over the same period in the cross-section of equities. I am able to document about ten different theories for momentum, and a large volume of empirical work on the topic. I find, however, that after a quarter century following the discovery of momentum by Jegadeesh and Titman (1993), we are still no closer to finding a discernible cause for this phenomenon, in spite of the extensive work on the topic. More needs to be done to develop tests that are focused not so much on testing one specific theory, but on ruling out alternative explanations.
Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.
How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.008 | 0.022 |
| Meta-epidemiology (narrow) | 0.001 | 0.001 |
| Meta-epidemiology (broad) | 0.003 | 0.002 |
| Bibliometrics | 0.013 | 0.018 |
| Science and technology studies | 0.002 | 0.003 |
| Scholarly communication | 0.008 | 0.017 |
| Open science | 0.003 | 0.003 |
| Research integrity | 0.004 | 0.004 |
| Insufficient payload (model declined to judge) | 0.019 | 0.003 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".