The Trend Is Your Friend: Momentum Investing

  • Adam Zaremba
  • Jacob “Koby” Shemer


Momentum is defined as the tendency of securities with good (poor) past performance to overperform (underperform) in the future. It is one of the most pervasive anomalies ever discovered and evidenced across numerous asset classes. In this chapter, the authors reviewed diverse momentum techniques and their variations, presenting potential improvements: volatility scaling, timing the momentum crashes, time-series and intermediate versions of momentum, a trend range, and the 52-week high strategies. They provided theoretical explanations and surveyed rich empirical evidence of momentum profitability, testing three momentum-based strategies across 24 international equity markets.


  1. Accominotti, O., & Chambers, D. (2014). Out-of-sample evidence on the returns to currency trading. Available at SSRN: or Accessed 21 Oct 2015.
  2. Ahn, D.-H., Conrad, J., & Dittmar, R. (2003). Risk adjustment and trading strategies. Review of Financial Studies, 16(2), 459–485.CrossRefGoogle Scholar
  3. Akermann, C. A., & Keller, W. E. (1977). Relative strength does persist! Journal of Portfolio Management, 4(1), 38–45.CrossRefGoogle Scholar
  4. Alwathainani, A. M. (2012). Consistent winners and losers. International Review of Economics and Finance, 21, 210–220.CrossRefGoogle Scholar
  5. Amen, S. (2013). Beta’em up: What is market beta in FX? Available at SSRN: or Accessed 21 Oct 2015.
  6. Andersen, J. V., Gluzman, S., & Sornette, D. (2000). Fundamental framework for technical analysis. European Physical Journal B, 14, 579–601.
  7. Andreu, L., Swinkels, L., & Tjong-A-Tjoe, L. (2013). Can exchange traded funds be used to exploit industry and country momentum? Financial Markets and Portfolio Management, 27(2), 127–148.CrossRefGoogle Scholar
  8. Ang, A., Chen, J., & Xing, Y. (2006a). Downside risk. Review of Financial Studies, 19, 1191–1239.CrossRefGoogle Scholar
  9. Ang, A., Chen, J., & Xing, Y. (2006b). The cross-section of volatility and expected returns. Journal of Finance, 61, 259–299.CrossRefGoogle Scholar
  10. Antonacci, G. (2013). Absolute momentum: A simple rule-based strategy and universal trend-following overlay (Research paper). Available at SSRN: or Accessed 18 Oct 2015.
  11. Antonacci, G. (2015). Dual momentum investing: An innovative strategy for higher returns with lower risk. New York: McGraw Hill Education.Google Scholar
  12. Ardila, D., Forrò, Z., & Sornette, D. (2015). The acceleration effect and gamma factor in asset pricing (Swiss Finance Institute research paper No. 15-30). Available at SSRN: or Accessed 21 Oct 2017.
  13. Asness, C. S. (1997). The interaction of value and momentum strategies. Financial Analysts Journal, 61, 29–36.CrossRefGoogle Scholar
  14. Asness, C. S., Liew, J. M., & Stevens, R. L. (1997). Parallels between the cross-sectional predictability of stock and country returns. Journal of Portfolio Management, 6, 79–86.CrossRefGoogle Scholar
  15. Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. Journal of Finance, 68(3), 929–985.CrossRefGoogle Scholar
  16. Avramov, D., Chordia, T., & Goyal, A. (2006a). Liquidity and autocorrelations in individual stock returns. Journal of Finance, 61, 2365–2394.CrossRefGoogle Scholar
  17. Avramov, D., Chordia, T., & Goyal, A. (2006b). The impact of trades on daily volatility. Review of Financial Studies, 19(4), 1241–1277.CrossRefGoogle Scholar
  18. Avramov, D., Chordia, T., Jostova, G., & Philipov, A. (2007). Momentum and credit rating. Journal of Finance, 62, 2503–2520.CrossRefGoogle Scholar
  19. Avramov, D., Cheng, S., Schreiber, A., & Shemer, K. (2016b, in press). Scaling up market anomalies. Journal of Investing. Available at SSRN: or Accessed 23 Oct 2017.
  20. Bae, J. W., & Elkamhi, R. (2015). Global equity correlation in FX carry and momentum trades. Available at SSRN: or Accessed 21 Oct 2015.
  21. Baltas, A.-N., & Kosowski, R. (2012a). Momentum strategies in futures markets and trend-following funds. SSRN Electronic Journal. Accessed 23 Oct 2017.
  22. Baltas, A.-N., & Kosowski, R. (2012b). Improving time-series momentum strategies: The role of trading signals and volatility estimators. SSRN Electronic Journal. Accessed 23 Oct 2017.
  23. Balvers, R. J., & Wu, Y. (2006). Momentum and mean reversion across national equity markets. Journal of Empirical Finance, 13, 24–48.CrossRefGoogle Scholar
  24. Bandarchuk, P., & Hilscher, J. (2013). Sources of momentum profits: Evidence on the irrelevance of characteristics. Review of Finance, 17, 809–845.CrossRefGoogle Scholar
  25. Bange, M. M. (2000). Do the portfolios of small investors reflect positive feedback trading? Journal of Financial and Quantitative Analysis, 35, 239–255.CrossRefGoogle Scholar
  26. Bansal, R., Dittmar, R. F., & Lundblad, C. T. (2005). Consumption, dividends, and cross section of equity returns. Journal of Finance, 60(4), 1639–1672.CrossRefGoogle Scholar
  27. Barber, B. M., & Odean, T. (2000). Trading is hazardous to your wealth: The common stock investment performance of individual investors. Journal of Finance, 55(2), 773–806.CrossRefGoogle Scholar
  28. Barber, B. M., & Odean, T. (2004). Are individual investors tax savvy? Evidence from retail and discount brokerage accounts. Journal of Public Economics, 88(1–2), 419–442.CrossRefGoogle Scholar
  29. Barberis, N., & Xiong, W. (2009). What drives the disposition effect? An analysis of a long-standing preference-based explanation. Journal of Finance, 64(2), 751–784.CrossRefGoogle Scholar
  30. Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49, 307–343.CrossRefGoogle Scholar
  31. Barroso, P., & Santa-Clara, P. (2015). Momentum has its moments. Journal of Financial Economics, 116(1), 111–120. Scholar
  32. Barth, F., Scholz, H., & Stegmeier, M. (2017). Momentum in the European corporate bond market: The role of characteristics-adjusted returns. Available at SSRN: or Accessed 23 Oct 2017.
  33. Baz, J., Granger, N. M., Harvey, C. R., Le Roux, N., & Rattray, S. (2015). Dissecting investment strategies in the cross section and time series. Available at SSRN: or Accessed 23 Oct 2017.
  34. Beracha, E., & Skiba, H. (2011). Momentum in residential real estate. Journal of Real Estate Finance and Economics, 43(3), 299–320.CrossRefGoogle Scholar
  35. Bhansali, V., Davis, J., Dorsten, M. P., & Rennison, G. (2015). Carry and trend in lots of places. Available at SSRN: or Accessed 23 Oct 2017.
  36. Bhojraj, S., & Swaminathan, B. (2006). Macromomentum: Returns predictability in international equity indices. Journal of Business, 79(1), 429–451.CrossRefGoogle Scholar
  37. Bhootra, A., & Hur, J. (2013). The timing of 52-week high price and momentum. Journal of Banking & Finance, 37(10), 3773–3782. Scholar
  38. Bianchi, R. J., Drew, M. E., & Polichronis, J. (2005). A test of momentum trading strategies in foreign exchange markets: Evidence from the G7. Global Business and Economic Review, 7(2/3), 155–179.CrossRefGoogle Scholar
  39. Bikhchandani, S., Hirshleifer, D., & Welch, I. (1992). A theory of fads, fashion, custom, and cultural change as informational cascades. Journal of Political Economy, 100(5), 992–1026.CrossRefGoogle Scholar
  40. Blitz, D. C., & van Vliet, P. (2007). The volatility effect: Lower risk without lower return. Journal of Portfolio Management, 34(1), 102–113. Scholar
  41. Blitz, D. C., & van Vliet, P. (2008). Global tactical cross-asset allocation: Applying value and momentum across asset classes. Journal of Portfolio Management, 35(1), 23–38. Scholar
  42. Blitz, D., Huij, J., & Martens, M. (2011). Residual momentum. Journal of Empirical Finance, 18(3), 506–521. Scholar
  43. Blitz, D., Hanauer, M. X., & Vidojevic, M. (2017). The idiosyncratic momentum anomaly. Available at SSRN: Accessed 23 Oct 2017.
  44. Blume, L., Easley, D., & O’Hara, M. (1994). Market statistics and technical analysis: The role of volume. Journal of Finance, 49, 153–181.CrossRefGoogle Scholar
  45. Bohan, J. (1981). Relative strength: Further positive evidence. Journal of Portfolio Management, 8(1), 36–39.CrossRefGoogle Scholar
  46. Boussaidi, R. (2013). Representativeness heuristic, investor sentiment and overreaction to accounting earnings: The case of the Tunisian stock market. Procedia – Social and Behavioral Sciences, 81, 9–21.CrossRefGoogle Scholar
  47. Bowden, M. P. (2015). A model of information flows and confirmatory bias in financial markets. Decisions in Economics and Finance, 38(2), 197–215.CrossRefGoogle Scholar
  48. Brown, D. P., & Jennings, R. H. (1989). On technical analysis. Review of Financial Studies, 2, 527–551.CrossRefGoogle Scholar
  49. Brush, J. S., & Bowles, K. E. (1983). The predictive power in relative strength and CAPM. Journal of Portfolio Management, 9(4), 20–23.CrossRefGoogle Scholar
  50. Burnside, A. C., Eichenbaum, M., & Rebelo, S. T. (2011). Carry trade and momentum in currency markets. Annual Review of Financial Economics, 3, 511–535.CrossRefGoogle Scholar
  51. Calvet, L. E., Lakonishok, J., & LeBaron, B. (1992). Simple technical trading rules and the stochastic properties of stock returns. Journal of Finance, 47(5), 1731–1764.CrossRefGoogle Scholar
  52. Chan, K., Hameed, A., & Tong, W. (2000). Profitability of momentum strategies in the international equity markets. Journal of Financial and Quantitative Analysis, 35(2), 153–172.CrossRefGoogle Scholar
  53. Chan, L. K. C., Jegadeesh, N., & Lakonishok, J. (2012). Momentum strategies. Journal of Finance, 51(5), 1681–1713.CrossRefGoogle Scholar
  54. Chang, R. P., Ko, K.-C., Nakano, S., & Rhee, S. G. (2018). Residual momentum in Japan. Journal of Empirical Finance, 45, 283–299. Scholar
  55. Chaves, D. B. (2012). Eureka! A momentum strategy that also works in Japan. Available at SSRN: or Accessed 23 Oct 2017.
  56. Cheema, M. A., Nartea, G. V., & Man, Y. (2017, in press). Cross-sectional and time series momentum returns and market states. International Review of Finance.
  57. Chen, H. S., & De Bondt, W. (2004). Style momentum within the S&P-500 index. Journal of Empirical Finance, 11, 483–507.CrossRefGoogle Scholar
  58. Chen, A.-S., & Yang, W. (2016). Echo effects and the returns from 52-week high strategies. Finance Research Letters, 16, 38–46. Scholar
  59. Chen, J., Hong, H., & Stein, J. C. (2002). Breadth of ownership and stock returns. Journal of Financial Economics, 66, 171–205.CrossRefGoogle Scholar
  60. Chen, L. H., Jiang, G. J., & Zhu, X. (2012). Do style and sector indexes carry momentum? Journal of Investment Strategies, 1(3), 67–89.CrossRefGoogle Scholar
  61. Chen, L.-W., Yu, H.-Y., & Wang, W.-K. (2017). Evolution of historical prices in momentum investing. Journal of Financial Markets, in press. Available at SSRN: Accessed 21 Oct 2017.
  62. Chen, L.-W., Yu, H.-Y., & Wang, W.-K. (2017a, in press). Evolution of historical prices in momentum investing. Journal of Financial Markets. Available at SSRN: Accessed 21 Oct 2017.
  63. Chestnutt, G. A. (1961). Stock market analysis: Facts and principles. Larchmont: American Investors Service.Google Scholar
  64. Chordia, T., & Shivakumar, L. (2002). Momentum, business cycle, and time varying expected returns. Journal of Finance, 57(2), 985–1019.CrossRefGoogle Scholar
  65. Chui, A. C. W., Titman, S., & Wei, J. K. C. (2010). Individualism and momentum around the world. Journal of Finance, 65(1), 361–392.CrossRefGoogle Scholar
  66. Clare, A., Sapuric, S., & Todorovic, N. (2010). Quantitative or momentum-based multi-style rotation? UK experience. Journal of Asset Management, 10, 370–381.CrossRefGoogle Scholar
  67. Clare, A., Seaton, J., Smith, P. N., & Thomas, S. (2016). The trend is our friend: Risk parity, momentum and trend following in global asset allocation. Journal of Behavioral and Experimental Finance, 9, 63–80. Scholar
  68. Clyde, W. C., & Osler, C. L. (1997). Charting: Chaos theory in disguise? Journal of Futures Markets, 17, 489–514.CrossRefGoogle Scholar
  69. Conrad, J., & Kaul, G. (1993). Long-term market overreaction or biases in computer returns? Journal of Finance, 48(1), 39–63.CrossRefGoogle Scholar
  70. Cooper, M. J., Gutierrez, R. C., Jr., & Hameed, A. (2004). Market states and momentum. Journal of Finance, 59(3), 1345–1365. Scholar
  71. Cooper, H., Mitrache, A., & Priestley, R. (2017). A global macroeconomic risk model for value, momentum, and other asset classes. Available at SSRN: Accessed 23 Oct 2017.
  72. Covel, M. W. (2007). The complete turtle trader: How 23 novice investors became overnight millionaires. New York: HarperCollins Publishers.Google Scholar
  73. Covel, M. W. (2009). Trend following: Learn to make millions in up or down markets. London: FT Press.Google Scholar
  74. Cowles, A., III, & Jones, H. E. (1937). Some a posteriori probabilities in stock market criteria. Econometrica, 5(3), 280–294.CrossRefGoogle Scholar
  75. Cutler, D. M., Poterba, J. M., & Summers, L. H. (1990). Speculative dynamics and the role of feedback traders. American Economic Review, 80, 63–68.Google Scholar
  76. Da, Z., Liu, Q., & Schaumburg, E. (2014). A closer look at the short-term return reversal. Management Science, 60, 658–674.CrossRefGoogle Scholar
  77. Da, Z., Gurun, U., & Warachka, M. (2014). Frog in the pan: Continuous information and momentum. Review of Financial Studies, 27, 2171–2218.CrossRefGoogle Scholar
  78. Daniel, K. D., & Moskowitz, T. J. (2013). Momentum crashes (Swiss Finance Institute research paper No. 13-61; Columbia Business School research paper No. 14-6; Fama-Miller working paper). Available at SSRN: or Accessed 17 Nov 2015.
  79. Daniel, K., & Titman, S. (1999). Market efficiency in an irrational world. Financial Analysts Journal, 55, 28–40.CrossRefGoogle Scholar
  80. Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). A theory of overconfidence, selfattribution, and security market under- and over-reactions. Journal of Finance, 53, 1839–1885.CrossRefGoogle Scholar
  81. Darvas, N. (1960). How I made $2,000,000 in the stock market. Larchmont: American Research Council.Google Scholar
  82. de Bondt, W. E. M. (1993). Betting on trends: Intuitive forecasts of financial risk and return. International Journal of Forecasting, 9, 355–371.CrossRefGoogle Scholar
  83. de Carvalho, R. L., Dugnolle, P., Lu, X., & Moulin, P. (2014). Low-risk anomalies in global fixed income: Evidence from major broad markets. Journal of Fixed Income, 23(4), 51–70. Scholar
  84. de Groot, W., Pang, J., & Swinkels, L. A. P. (2012b). The cross-section of stock returns in frontier emerging markets. Journal of Empirical Finance, 19(5), 796–818.CrossRefGoogle Scholar
  85. de Groot, W., Karstansje, D., & Zhou, W. (2014). Exploiting commodity momentum along the futures curves. Journal of Banking & Finance, 48, 79–93.CrossRefGoogle Scholar
  86. de Long, B. J., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990a). Noise trader risk in financial markets. Journal of Political Economy, 98, 703–738.CrossRefGoogle Scholar
  87. de Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990b). Positive feedback investment strategies and destabilizing rational speculation. Journal of Finance, 45(2), 379–395.CrossRefGoogle Scholar
  88. De Bondt, W. F. M., & Thaler, R. (1985). Does the stock market overreact? Journal of Finance, 40(3), 793–805.Google Scholar
  89. Dudler, M., Gmuer, B., & Malamud, S. (2014). Risk adjusted time series momentum (Swiss Finance Institute research paper No. 14-71). Available at SSRN: or Accessed 23 Oct 2017.
  90. Dudler, M., Gmur, B., & Malamud, S. (2015). Momentum and risk adjustment. Journal of Alternative Investment, 18(2), 91–103. Scholar
  91. Durham, J. B. (2013). Momentum and the term structure of interest rates (FRB of New York staff report No. 657). Available at SSRN: or Accessed 20 Oct 2015.
  92. Duyvesteyn, J., & Martens, M. (2014). Emerging government bond market timing. Journal of Fixed Income, 23(3), 36–49.CrossRefGoogle Scholar
  93. Easterday, K. E., Sen, P. K., & Stephan, J. (2009). The persistence of the small firm/January effect: Is it consistent with investors’ learning and arbitrage efforts? Quarterly Review of Economics and Finance, 49(3), 1172–1193.CrossRefGoogle Scholar
  94. Ehsani, S. (2017). Factor momentum and the momentum factor. Available at SSRN: Accessed 23 Oct 2017.
  95. Evans, A., & Schmitz, C. (2015). Value, size and momentum on equity indices – A likely example of selection bias (WINTON Global Investment Management working paper). Available at Accessed 11 Nov 2015.
  96. Faber, M. T. (2010). Relative strength strategies for investing. Available at SSRN: or Accessed 21 Oct 2015.
  97. Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 25(2), 383–417.CrossRefGoogle Scholar
  98. Fama, E. F., & Blume, M. E. (1966). Filter rules and stock market trading. Journal of Business, 39(1), 226–241.CrossRefGoogle Scholar
  99. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3–56. Scholar
  100. Fama, E. F., & French, K. R. (2008). Dissecting anomalies. Journal of Finance, 63(4), 1653–1678.CrossRefGoogle Scholar
  101. Fan, S., Opsal, S., & Yu, L. (2015). Equity anomalies and idiosyncratic risk around the world. Multinational Finance Journal, 19(1), 33–75.CrossRefGoogle Scholar
  102. Feng, Z., Price, S. M., & Sirmans, C. F. (2014). The relation between momentum and drift: Industry-level evidence from equity Real Estate Investment Trusts (REITs). Journal of Real Estate Research, 36(3), 407.Google Scholar
  103. Filippou, I., Gozluklu, A. E., & Taylor, M. P. (2015). Global political risk and currency momentum. Available at SSRN: or Accessed 21 Oct 2015.
  104. Forsythe, R., Nelson, F., Neumann, G., & Wright, J. (1992). Anatomy of an experimental stock market. American Economic Review, 82, 1142–1161.Google Scholar
  105. Frazzini, A. (2006). The disposition effect and underreaction to news. Journal of Finance, 61(4), 2017–2046.CrossRefGoogle Scholar
  106. Frazzini, A., & Pedersen, L. H. (2014). Betting against beta. Journal of Financial Economics, 111, 1–25. Scholar
  107. Frieder, L. (2008). Investor and price response to patterns in earnings surprises. Journal of Financial Markets, 11, 259–283.CrossRefGoogle Scholar
  108. Fuertes, A. M., Miffre, J., & Rallis, G. (2010). Tactical allocation in commodity futures markets: Combining momentum and term structure signals. Journal of Banking and Finance, 34, 2530–2548.CrossRefGoogle Scholar
  109. Fuertes, A. M., Miffre, J., & Fernández-Pérez, A. (2015). Commodity strategies based on momentum, term structure and idiosyncratic volatility. Journal of Futures Markets, 35(3), 274–297.CrossRefGoogle Scholar
  110. Fung, W., & Hsieh, D. A. (1997). Survivorship bias and investment style in the returns of CTAs. Journal of Portfolio Management, 24(1), 30–41.CrossRefGoogle Scholar
  111. Garleanu, N., & Pedersen, L. H. (2007). Liquidity and risk management. American Economic Review, 97, 193–197.CrossRefGoogle Scholar
  112. Gartley, H. M. (1935). Profits in the stock market. Pomeroy: Lambert Gann Publishing.Google Scholar
  113. Gartley, H. M. (1945). Relative velocity statistics: Their application in portfolio analysis. Financial Analyst Journal, 51(1), 18–20.CrossRefGoogle Scholar
  114. Gebhardt, W. R., Hvidkjaer, S., & Swaminathan, B. (2005). Stock and bond market interaction: Does momentum spill over? Journal of Financial Economics, 75(3), 651–690.CrossRefGoogle Scholar
  115. Geczy, C., & Samonov, M. (2016). Two centuries of price-return momentum. Financial Analysts Journal, 72(5), 32–56. Scholar
  116. Georgopoulou, A., & Wang, G. J. (2016, in press). The trend is your friend: Time-series momentum strategies across equity and commodity markets. Review of Finance. Available at SSRN: Accessed 11 Sept 2017.
  117. Gilovich, T., Vallone, R., & Tversky, A. (1985). The hot hand in basketball: On the misperception of random sequences. Cognitive Psychology, 17, 295–314.CrossRefGoogle Scholar
  118. Goebel, P. R., Harrison, D. M., Mercer, J. M., & Whitby, R. J. (2012). REIT momentum and characteristic-related REIT Returns. Journal of Real Estate Finance and Economics, 47(3), 564–581.CrossRefGoogle Scholar
  119. Gorton, G. B., Hayashi, F., & Rouwenhorst, K. G. (2013). The fundamentals of commodity futures returns. Review of Finance, 17, 35–105.CrossRefGoogle Scholar
  120. Goyal, A., & Jegadeesh, N. (2017). Cross-sectional and time-series tests of return predictability: What is the difference? (Swiss Finance Institute research paper No. 15-13). Available at SSRN: or Accessed 23 Oct 2017.
  121. Goyal, A., & Wahal, S. (2015). Is momentum and echo? Journal of Financial and Quantitative Analysis, 50(6), 1237–1267. Scholar
  122. Graham, J. R. (1999). Herding among investment newsletters: Theory and evidence. Journal of Finance, 54(1), 237–268.CrossRefGoogle Scholar
  123. Griffin, J. M., Ji, X., & Martin, S. J. (2003). Momentum investing and business cycle risk: Evidence from pole to pole. Journal of Finance, 58(6), 2515–2547.CrossRefGoogle Scholar
  124. Griffin, J., Ji, X., & Martin, S. J. (2005). Global momentum strategies: A portfolio perspective. Journal of Portfolio Management, 31(2), 23–39.CrossRefGoogle Scholar
  125. Grinblatt, M., & Moskowitz, T. M. (2004). Predicting stock price movements from past returns: The role of consistency and tax-loss selling. Journal of Financial Economics, 71, 541–579.CrossRefGoogle Scholar
  126. Grobys, K. (2015, forthcoming). Another look at momentum crashes: Momentum in the European monetary union. Applied Economics. Available at SSRN: or Accessed 11 Nov 2015.
  127. Grobys, K. (2016). Another look at momentum crashes: Momentum in the European monetary union. Applied Economics, 48(19), 1759–1766.CrossRefGoogle Scholar
  128. Grobys, K., Heinonen, J.-P., & Kolari, J. W. (2016). Is currency momentum driven by global economic risk? Available at SSRN: or Accessed 28 Aug 2015.
  129. Grossman, S. J., & Stiglitz, J. E. (1976). Information and competitive price systems. American Economic Review, 66, 246–253.Google Scholar
  130. Grossman, S. J., & Stiglitz, J. E. (1980). On the impossibility of informationally efficient markets. American Economic Review, 70, 393–408.Google Scholar
  131. Grundy, B. D., & Martin, J. S. (2001). Understanding the nature of the risks and the sources of the rewards to momentum investing. Review of Financial Studies, 14(1), 29–78.CrossRefGoogle Scholar
  132. Guilmin, G. (2015). The effective combination of risk-based strategies with momentum and trend following. Available at SSRN: or Accessed 11 Oct 2015.
  133. Han, Y., Zhou, G., & Zhu, Y. (2016, June). A trend factor: Any economic gains from using information over investment Horizons? Available at SSRN: or Scholar
  134. Haller, G. (1965). The Haller theory of stock market trends. West Palm Beach: Gilber Haller.Google Scholar
  135. Hanauer, M. (2014). Is Japan different? Evidence on momentum and market dynamics. International Review of Finance, 14(1), 141–160.CrossRefGoogle Scholar
  136. Hao, Y., Chu, H.-H., Ho, K.-Y., & Ko, K.-C. (2016). The 52-week high and momentum in the Taiwan stock market: Anchoring or recency biases? International Review of Economics & Finance, 43, 121–138. Scholar
  137. Haug, M., & Hirschey, M. (2006). The January effect. Financial Analyst Journal, 62(5), 78–88.CrossRefGoogle Scholar
  138. Heisler, J. (1994). Loss aversion in a futures market: An empirical test. Review of Futures Markets, 13(3), 793–822.Google Scholar
  139. Hellwig, M. (1982). Rational expectations equilibrium with conditioning on past prices: A mean-variance example. Journal of Economic Theory, 26, 279–312.CrossRefGoogle Scholar
  140. Hong, H., & Stein, J. (1999). A unified theory of underreaction, momentum trading, and overreaction in asset markets. Journal of Finance, 54(6), 2143–2184.CrossRefGoogle Scholar
  141. Hong, H., Lim, T., & Stein, J. C. (2000). Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies. Journal of Finance, 55(1), 265–295.CrossRefGoogle Scholar
  142. Hou, K., Peng, L., & Xiong, W. (2006). R2and price inefficiency (Research in Financial Economics in its series working paper series with number 2006-23). Available at Accessed 9 Sept 2017.
  143. Houweling, P., & van Zundert, J. (2017). Factor investing in the corporate bond market. Financial Analysts Journal, 73(2), 100–115. Scholar
  144. Hühn, H. L., & Scholz, H. (2017). Alpha momentum and price momentum. Available at SSRN: or Accessed 23 Oct 2017.
  145. Hambusch, G., Hong, K. J., & Webster, E. (2015). Enhancing risk-adjusted return using time series momentum in sovereign bonds. Journal of Fixed Income, 25(1), 96–111. Scholar
  146. Hung, K., & Glascock, J. L. (2010). Volatilities and momentum returns in real estate investment trusts. Journal of Real Estate Finance and Economics, 41(2), 126–149. Scholar
  147. Hurst, B. K., Ooi, Y. H., & Pedersen, L. H. (2013). Demystifying managed futures. Journal of Investment Management, 11(3), 42–58.Google Scholar
  148. Hurst, B., Ooi, Y. H., & Pedersen, L. H. (2017). A century of evidence on trend-following investing. Available at SSRN: Accessed 23 Oct 2017.
  149. Ilmanen, A. (2011). Expected returns: An investor’s guide to harvesting market rewards. Hoboken: Wiley.CrossRefGoogle Scholar
  150. Irwin, S. H., & Park, C. H. (2008). The profitability of technical analysis in commodity markets. In F. J. Fabozzi, R. Fus, & D. G. Kaiser (Eds.), The handbook of commodity investing. Hoboken: John Wiley & Sons.Google Scholar
  151. Israel, R., Palhares, D., & Richardson, S. A. (2016). Common factors in corporate bond and bond fund returns. Available at SSRN: or Accessed 23 Oct 2017.
  152. Ivkovic, Z., & Weisbenner, S. (2009). Individual investor mutual fund flows. Journal of Financial Economics, 92(2), 223–237.CrossRefGoogle Scholar
  153. Jacobs, H. (2015). What explains the dynamics of 100 anomalies? Journal of Banking & Finance, 57, 65–85. Scholar
  154. Jacobs, H. (2016). Market maturity and mispricing. Journal of Financial Economics, 122(2), 270–287. Scholar
  155. Jacobs, H., & Müller, S. (2017a). Anomalies across the globe: Once public, no longer existent? Available at SSRN: or Accessed 23 Oct 2017.
  156. Jacobs, H., & Müller, S. (2017b). ...and nothing else matters? On the dimensionality and predictability of international stock returns. Available at SSRN: or Accessed 23 Oct 2017.
  157. Jacobs, H., Regele, T., & Weber, M. (2016). Expected skewness and momentum. Available at SSRN: or Accessed 11 Sept 2017.
  158. Jaffarian, E. (2009). Managed futures. In K. Wilkens-Christopher (Ed.), CAIA level II. Advanced core topics in alternative investments. Hoboken: John Wiley & Sons.Google Scholar
  159. Jegadeesh, N. (1990). Evidence of predictable behavior of security returns. Journal of Finance, 45, 881–898.CrossRefGoogle Scholar
  160. Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 48, 65–91.CrossRefGoogle Scholar
  161. Jegadeesh, N., & Titman, S. (2001). Profitability of momentum strategies: An evaluation of alternative explanations. Journal of Finance, 56(2), 599–720.CrossRefGoogle Scholar
  162. Jensen, M. C. (1978). Some anomalous evidence regarding market efficiency. Journal of Financial Economics, 6(2–3), 95–101.CrossRefGoogle Scholar
  163. Jensen, M. C., & Benington, G. A. (1970). Random walks and technical theories: Some additional evidence. Journal of Finance, 25(2), 469–482.CrossRefGoogle Scholar
  164. Ji, X., Martin, S., & Yao, Y. (2017, in press). Macroeconomic risk and seasonality in momentum profits. Journal of Financial Markets.
  165. Jiang, G., Lee, C. M., & Zhang, Y. (2005). Information uncertainty and expected returns. Review of Accounting Studies, 10, 185–221.CrossRefGoogle Scholar
  166. Jostova, G., Nikolova, S., Philipov, A., & Stahel, C. W. (2013). Momentum in corporate bond returns. Review of Financial Studies, 26(7), 1649–1693.CrossRefGoogle Scholar
  167. Kaestner, M. (2006). Anomalous price behaviour following earnings surprises: Does representativeness cause overreaction? Revue de l’Association Francaise de Finance, 27, 5–31.Google Scholar
  168. Kahneman, D., & Tversky, A. (1972). Subjective probability: A judgment of representativeness. Cognitive Psychology, 3, 430–454.CrossRefGoogle Scholar
  169. Kaustia, M. (2010). Disposition effect. In H. K. Baker & J. R. Nofsinger (Eds.), Behavioral finance. Hoboken: John Wiley & Sons, chapter 10.Google Scholar
  170. Keim, D. (1983a). Size-related anomalies and stock return seasonality: Further empirical evidence. Journal of Financial Economics, 12, 13–32.CrossRefGoogle Scholar
  171. Keim, D. (1983b). Stock return seasonality and the size effect. Journal of Financial Economics, 12, 13–32.CrossRefGoogle Scholar
  172. Kim, D. (2012). Cross-asset style momentum. Asia-Pacific Journal of Financial Studies, 41(5), 610–636. Scholar
  173. Kim, H., Arvind, M., & Petkevich, A. (2012). Sources of momentum in bonds (Mays Business School research paper No. 2012-40). Available at SSRN: or Accessed 20 Oct 2015.
  174. Kim, A. Y., Tse, Y., & Wald, J. K. (2016). Time series momentum and volatility scaling. Journal of Financial Markets, 30, 103–124. Scholar
  175. Kroencke, T. A., Schindler, F., & Schrimpf, A. (2013). International diversification benefits with foreign exchange investment styles. Review of Finance, 18(5), 1847–1883.CrossRefGoogle Scholar
  176. Lee, E., & Piqueira, N. (2017). Short selling around the 52-week and historical highs. Journal of Financial Markets, 33, 75–101. Scholar
  177. Lee, C. M., & Swaminathan, B. (2000). Price momentum and trading volume. Journal of Finance, 55, 2017–2069.CrossRefGoogle Scholar
  178. Lefevre, E. (2010). Reminiscences of a stock operator: With new commentary and insights on the life and times of Jesse Livermore. Hoboken: John Wiley & Sons.Google Scholar
  179. Lehmann, B. N. (1990). Fads, martingales, and market efficiency. Quarterly Journal of Economics, 105(1), 1–28.CrossRefGoogle Scholar
  180. Levine, A., & Pedersen, L. H. (2016). Which trend is your friend? Financial Analysts Journal, 72(3), 51–66. Scholar
  181. Levy, R. A. (1967). Relative strength as a criterion for investment selection. Journal of Finance, 22(4), 595–610.CrossRefGoogle Scholar
  182. Levy, R. A. (1968). The relative strength concept of common stock price forecasting. Larchmont: Investors Intelligence.Google Scholar
  183. Lhabitant, F. S. (2008). Commodity trading strategies: Examples of trading rules and signals from the CTA sector. In F. J. Fabozzi, R. Fuss, & D. G. Kaiser (Eds.), The handbook of commodity investing. Hoboken: John Wiley & Sons.Google Scholar
  184. Li, F. W., & Wei, J. K. C. (2015). Momentum life cycle around the world: The roles of individualism and limits to arbitrage. In Asian Finance Association (AsianFA) 2015 Conference Paper. Available at SSRN: or Accessed 20 Oct 2015.
  185. Lin, H., Wu, C., & Zhou, G. (2017). Does momentum exist in bonds of different ratings? Available at SSRN: or Accessed 23 Oct 2017.
  186. Liu, L. X., & Zhang, L. (2008). Momentum profits, factor pricing, and macroeconomic risk. Review of Financial Studies, 21(6), 2417–2448.CrossRefGoogle Scholar
  187. Liu, M., Liu, Q., & Ma, T. (2011). The 52-week high momentum strategy in international stock markets. Journal of International Money and Finance, 30, 180–204.CrossRefGoogle Scholar
  188. Locke, P. R., & Mann, S. C. (2005). Professional trader discipline and trade disposition. Journal of Financial Economics, 76(2), 401–444.CrossRefGoogle Scholar
  189. Lord, C., Ross, L., & Lepper, M. (1979). Biased assimilation and attitude polarization: The effects of prior theories on subsequently considered evidence. Journal of Personality and Social Psychology, 37, 2098–2109.CrossRefGoogle Scholar
  190. Lukac, L. P., Brorsen, B. W., & Irwin, S. H. (1988). A test of futures market disequilibrium using twelve different technical trading systems. Applied Economics, 20(5), 523–639.CrossRefGoogle Scholar
  191. Luu, B. V., & Yu, P. (2012). Momentum in government-bond markets. Journal of Fixed Income., 22(2), 72–79.CrossRefGoogle Scholar
  192. Maymin, P. Z., Maymin, Z. G., & Fisher, G. S. (2014). Momentum’s hidden sensitivity to the starting day. Journal of Investing, 23(2), 114–123. Scholar
  193. Menkoff, L., Sarno, L., Schmeling, M., & Schrimpf, A.(2011). Currency momentum strategies. Available at SSRN: or Accessed 21 Oct 2015.
  194. Miffre, J., & Rallis, G. (2007). Momentum strategies in commodity futures markets. Journal of Banking & Finance, 31(6), 1863–1886. Scholar
  195. Moskowitz, T. J., & Grinblatt, M. (1999). Do industries explain momentum? Journal of Finance, 54(4), 1249–1290.CrossRefGoogle Scholar
  196. Moskowitz, T. J., Ooi, Y. H., & Pedersen, L. H. (2012). Time series momentum. Journal of Financial Economics, 104(2), 228–250.CrossRefGoogle Scholar
  197. Moss, A., Clare, A., Thomas, S. H., & Seaton, J. (2015). Trend following and momentum strategies for global REITs. Journal of Real Estate Portfolio Management, 21(1), 21–31.Google Scholar
  198. Muller, C., & Ward, M. (2010). Momentum effects in country equity indices. Journal for Studies in Economics and Econometrics, 34(1), 111–127.Google Scholar
  199. Northcraft, G. B., & Neale, M. (1987). Experts, amateurs, and real estate: An anchoring-and-adjustment perspective on property pricing decisions. Organizational Behavior and Human Decision Processes, 39, 84–97.CrossRefGoogle Scholar
  200. Nosfinger, J. R., & Sias, R. W. (1999). Herding and feedback trading by institutional and individual investors. Journal of Finance, 54(6), 2263–2295.CrossRefGoogle Scholar
  201. Novy-Marx, R. (2012). Is momentum really momentum? Journal of Financial Economics, 103, 429–453.CrossRefGoogle Scholar
  202. O’Neil, W. (2009). How to make money in stocks: A winning system in good times and bad (4th ed.). New York: McGraw Hill Education.Google Scholar
  203. Okunev, J., & White, D. (2000). Do momentum based strategies still work in foreign currency markets. Journal of Financial and Quantitative Markets, 38(2), 422–457.Google Scholar
  204. Olszewski, F., & Zhou, G. (2014). Strategy diversification: Combining momentum and carry strategies within a foreign exchange portfolio. Journal of Derivatives & Hedge Funds, 19(4), 311–320.CrossRefGoogle Scholar
  205. Orlov, V. (2015). Currency momentum, carry trade and market illiquidity. 27th Australasian Finance and Banking Conference 2014 Paper.Google Scholar
  206. Osler, C. L. (2000). Support for resistance: Technical analysis and intraday exchange rates. Economic Policy Review, 6, 53–65.Google Scholar
  207. Pan, M. S., Liano, K., & Huang, G.-C. (2004). Industry momentum strategies and autocorrelations in stock returns. Journal of Empirical Finance, 11(2), 185–202.CrossRefGoogle Scholar
  208. Park, C.-H., & Irwin, S. H. (2007). What do we know about the profitability of technical analysis? Journal of Economic Surveys, 21(4), 786–826.CrossRefGoogle Scholar
  209. Park, K.-I., & Kim, D. (2013). Sources of momentum profits in international stock markets. Accounting and Finance, 54(2), 567–589.CrossRefGoogle Scholar
  210. Pastor, L., & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111(3), 642–685.CrossRefGoogle Scholar
  211. Pirrong, C. (2005). Momentum in futures markets (EFA 2005 Moscow meetings paper). Available at SSRN: or Accessed 21 Oct 2015.
  212. Plessis, J., & Hallerbach, W. G. (2016). Volatility-weighting applied to momentum strategies. Journal of Alternative Investments.
  213. Pojarliev, M., & Levich, R. M. (2013). A new look at currency investing. CFA Institute Research Foundation Monograph. Available at SSRN: Accessed 20 Oct 2015.
  214. Pospisil, L., & Zhang, J. (2010). Momentum and reversal effects in corporate bond prices and credit cycles. Journal of Fixed Income, 20(2), 101–115.CrossRefGoogle Scholar
  215. Pouget, S., & Villeneuve, S. (2008). Price formation with confirmation bias. Available at Accessed 24 Oct 2015.
  216. Pouget, S., & Villeneuve, S. (2012). A mind is a terrible thing to change: Confirmation bias in financial markets (IDEI working papers 720). Toulouse: Institut d’Économie Industrielle (IDEI). Available at Accessed 24 Oct 2015.
  217. Rabin, M., & Schrag, J. (1999). First impressions matter: A model of confirmatory bias. Quarterly Journal of Economics, 114, 37–82.CrossRefGoogle Scholar
  218. Reidpath, D. D., & Diamond, M. R. (1995). A nonexperimental demonstration of anchoring bias. Psychological Reports, 76, 800–802.CrossRefGoogle Scholar
  219. Rhea, R. (1932). The Dow theory. New York: Barrons.Google Scholar
  220. Ro, S. H., & Gallimore, P. (2013). Real estate mutual funds: Herding, momentum trading and performance. Real Estate Economics, 42(1), 190–222.CrossRefGoogle Scholar
  221. Rouwenhorst, G. K. (1998). International momentum strategies. Journal of Finance, 53(1), 267–284.CrossRefGoogle Scholar
  222. Rouwenhorst, G. K. (1999). Local return factors and turnover in emerging stock markets. Journal of Finance, 54, 1439–1464.CrossRefGoogle Scholar
  223. Sagi, J., & Seasholes, M. (2007). Firm-specific attributes and the cross section of momentum. Journal of Financial Economics, 84(2), 389–434.CrossRefGoogle Scholar
  224. Samuelson, P. A. (1965). Proof that properly anticipated prices fluctuate randomly. Industrial Management Review, 6, 41–49.Google Scholar
  225. Schmidt, P. S., von Arx, U., Schrimpf, A., Wagner, A. F., & Ziegler, A. (2015). Size and momentum profitability in international stock markets (Swiss Finance Institute Research paper No. 15-29). Available at SSRN: or Accessed 20 Oct 2015.
  226. Schwager, J. D. (1994). The new market wizards: Conversations with America’s top traders. New York: HarperCollins.Google Scholar
  227. Schwager, J. D. (2003). Stock market wizards: Interviews with America’s top stock traders. New York: HarperBusiness.Google Scholar
  228. Schwager, J. D. (2012a). Hedge fund market wizards: How winning traders win? Hoboken: John Wiley & Sons.CrossRefGoogle Scholar
  229. Schwager, J. D. (2012b). Market wizards, updated: Interviews with top traders. Hoboken: John Wiley & Sons.CrossRefGoogle Scholar
  230. Seamans, G. (1939). The seven pillars of stock market success. Brightwaters: Windsor Books.Google Scholar
  231. Shaik, R. (2011). Risk-adjusted momentum: A superior approach to momentum investing (White paper). Bridgeway Capital Management. Available at
  232. Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425–442.Google Scholar
  233. Shefrin, H., & Statman, M. (1985). The disposition to sell winners too early and ride losers too long: Theory and evidence. Journal of Finance, 40(3). Papers and Proceedings of the Forty-Third Annual Meeting American Finance Association, Dallas, Texas, December 28–30, pp. 777–790.CrossRefGoogle Scholar
  234. Shiller, R. J. (1984). Stock prices and social dynamics (Cowles Foundation Paper #616, pp. 457–510). Available at Accessed 9 Oct 2017.CrossRefGoogle Scholar
  235. Shiller, R. J. (1988). Portfolio insurance and other investor fashions as factors in the 1987 stock market crash. NBER Macroeconomic Annual, 3, 287–296.CrossRefGoogle Scholar
  236. Shleifer, A. (2000). Inefficient markets: An introduction to behavioral finance. Oxford: Oxford University Press.CrossRefGoogle Scholar
  237. Sias, R. (2007). Causes and seasonality of momentum profits. Financial Analysts Journal, 63(2), 48–54.CrossRefGoogle Scholar
  238. Silber, W. L. (1994). Technical trading: When it works and when it doesn’t. Journal of Derivatives, 1, 39–44.CrossRefGoogle Scholar
  239. Slovic, P., & Lichtenstein, S. (1971). Comparison of Bayesian and regression approaches to the study of information processing in judgement. Organizational Behavior and Human Performance, 6, 649–744.CrossRefGoogle Scholar
  240. Soros, G. (2003). The alchemy of finance. Hoboken: John Wiley & Sons.Google Scholar
  241. Stambaugh, R. F., Yu, J., & Yuan, Y. (2012). The short of it: Investor sentiment and anomalies. Journal of Financial Economics, 104(2), 288–302. Scholar
  242. Stockopedia. (2012). What is a momentum crash and why does it happen? Available at Accessed 10 Sept 2017.
  243. Szakmary, A. C., & Zhou, X. (2015). Industry momentum in an earlier time: Evidence from the Cowles data. Journal of Financial Research, 38(3), 319–347.CrossRefGoogle Scholar
  244. Szymanowska, M., de Roon, F., Nijman, T., & van den Goorbergh, R. (2014). An anatomy of commodity futures risk premia. Journal of Finance, 69(1), 453–482.CrossRefGoogle Scholar
  245. Teplova, T., & Mikova, E. (2015). New evidence on determinants of price momentum in the Japanese stock market. Research in International Business and Finance, 34, 84–109.CrossRefGoogle Scholar
  246. Tibbs, S. L., Eakins, S. G., & DeShurko, W. (2008). Using style momentum to generate alpha. Journal of Technical Analysis, 65, 50–56.Google Scholar
  247. Tversky, A., & Kahneman, D. (1971). Belief in the law of small numbers. Psychological Bulletin, 2, 105–110.CrossRefGoogle Scholar
  248. Tversky, A., & Kahneman, D. (1974). Judgement under uncertainty: Heuristics and biases. Science, 185, 1124–1131.CrossRefGoogle Scholar
  249. Tversky, A., & Kahneman, D. (1982). Judgments of and by representativeness. In D. Kahneman, P. Slovic, & A. Tversky (Eds.), Judgment under uncertainty: Heuristics and biases (pp. 84–98). Cambridge: Cambridge University Press.CrossRefGoogle Scholar
  250. Umutlu, M. (2015). Idiosyncratic volatility and expected returns at the global level. Financial Analysts Journal, 71(6), 58–71.CrossRefGoogle Scholar
  251. van Horne, J. C., & Parker, G. G. C. (1967). The random-walk theory: An empirical test. Financial Analyst Journal, 23(6), 87–92.CrossRefGoogle Scholar
  252. van Horne, J. C., & Parker, G. G. C. (1968). Technical trading rules: A comment. Financial Analyst Journal, 24(4), 128–132.CrossRefGoogle Scholar
  253. van Zundert, J. (2017). A new test for cross-sectional momentum. Available at SSRN: Accessed 23 Oct 2017.
  254. Vinod, H. D., & Morey, M. R. (1999). A double Sharpe ratio (Working paper). Available at SSRN: Accessed 16 Oct 2017.
  255. Vu, J. D. (2012). Do momentum strategies generate profits in emerging stock markets? Problems and Perspectives in Management, 10(3), 2012.Google Scholar
  256. Wang, P., & Kochard, L. (2011). Using a Z-score approach to combine value and momentum in tactical asset allocation. Available at SSRN: or Accessed 23 Oct 2017.
  257. Wang, K. Q., & Xu, J. (2015). Market volatility and momentum. Journal of Empirical Finance, 30, 79–91. Scholar
  258. Wason, P. C. (1960). On the failure to eliminate hypotheses in a conceptual task. Quarterly Journal of Experimental Psychology, 12, 129–140.CrossRefGoogle Scholar
  259. Watson, S. R., & Buede, D. M. (1987). Decision synthesis: The principles and practice of decision analysis. Cambridge: Cambridge University Press.Google Scholar
  260. Weber, M., & Camerer, C. F. (1998). The disposition effect in securities trading: An experimental analysis. Journal of Economic Behavior and Organization, 33(2), 167–184.CrossRefGoogle Scholar
  261. Welch, I. (2000). Herding among security analysts. Journal of Financial Economics, 58, 69–396.CrossRefGoogle Scholar
  262. Wyckoff, R. F. (1924). How I trade in stocks and bonds: Being some methods evolved and adapted during my thirty-three years’ experience in Wall Street. New York: Magazine of Wall Street.Google Scholar
  263. Zakamulin, V. (2015a). A comprehensive look at the empirical performance of moving average trading strategies. Available at SSRN: or Accessed 19 Oct 2017.
  264. Zakamulin, V. (2015b). Market timing with a robust moving average. Available at SSRN: or Accessed 19 Oct 2017.
  265. Zakamulin, V. (2016a). Revisiting the profitability of market timing with moving averages. Available at SSRN: or Accessed 19 Oct 2017.
  266. Zakamulin, V. (2016b). Market timing with moving averages: Anatomy and performance of trading rules. Available at SSRN: or Accessed 19 Oct 2017.
  267. Zaremba, A. (2015a). The momentum effect in country-level stock market anomalies. Available at SSRN: or Accessed 23 Oct 2017.
  268. Zaremba, A. (2016). Investor sentiment, limits on arbitrage, and the performance of cross-country stock market anomalies. Journal of Behavioral and Experimental Finance, 9, 136–163. Scholar
  269. Zaremba, A. (2015c). The January seasonality and the performance of country-level value and momentum strategies. Copernican Journal of Finance & Accounting, 2, 195–209. Scholar
  270. Zaremba, A. (2015d). Country selection strategies based on value, size and momentum. Investment Analyst Journal, 44(3), 171–198.CrossRefGoogle Scholar
  271. Zaremba, A. (2016). Strategies based on momentum and term structure in financialized -commodity markets. Business and Economics Research Journal, 7(1), 31–46.CrossRefGoogle Scholar
  272. Zaremba, A. (2017a). Performance persistence of government bond factor premia. Finance Research Letters, 22, 182–189. Scholar
  273. Zaremba, A. (2017b). Performance persistence in anomaly returns: Evidence from frontier markets. Available at SSRN: Accessed 31 Oct 2017.
  274. Zaremba, A. (2017c). Combining country equity selection strategies. Contemporary Economics, 11(1), 107–126. Scholar
  275. Zaremba, A., & Andreu Sánchez, L. (2017). Paper profits or real money? Trading costs and stock market anomalies in country equity indices. Available at
  276. Zaremba, A., & Czapkiewicz, A. (2017a). Digesting anomalies in emerging European markets: A comparison of factor pricing models. Emerging Markets Review, 31, 1–15. Scholar
  277. Zaremba, A., & Czapkiewicz, A. (2017b, in press). The cross section of international government bond returns. Economic Modelling.
  278. Zaremba, A., & Schabek, T. (2017). Seasonality in government bond returns and factor premia. Research in International Business and Finance, 41, 292–302. Scholar
  279. Zaremba, A., & Shemer, J. (2016a). Country asset allocation. New York: Palgrave Macmillan.Google Scholar
  280. Zaremba, A., & Shemer, J. (2016b). Is small beautiful? Size effect in stock markets. Country Asset Allocation, 67–79.
  281. Zaremba, A., & Shemer, J. (2016c). Momentum effect across countries. Country Asset Allocation, 161–181. New York: Palgrave Macmillan.
  282. Zaremba, A., & Shemer, J. (2016d). Value versus growth: Is buying cheap always a bargain? Country Asset Allocation, 9–38. New York: Palgrave Macmillan.
  283. Zaremba, A., & Shemer, K. (2016e). What drives the momentum in factor premia? Evidence from international equity markets. Paper presented at the 20th EBES Conferences, September 28–30, 2016, Vienna, Austria.Google Scholar
  284. Zaremba, A., & Shemer, J. (2016f). Testing the country allocation strategies. Country Asset Allocation, 123–136. New York: Palgrave Macmillan.
  285. Zaremba, A., & Shemer, K. (2017, in press). Is there momentum in factor premia? Evidence from international equity markets. Research in International Business and Finance.
  286. Zaremba, A., & Szyszka, A. (2016). Is there momentum in equity anomalies? Evidence from the Polish emerging market. Research in International Business and Finance, 38, 546–564. Scholar
  287. Zaremba, A., & Umutlu, M. (2018a, in press). Strategies can be expensive too! The value spread and asset allocation in global equity markets. Applied Economics.Google Scholar
  288. Zaremba, A., & Umutlu, M. (2018b, in press). Less pain, more gain: Volatility-adjusted residual momentum in international equity markets. Investment Analysts Journal.
  289. Zhang, X. F. (2006). Information uncertainty and stock returns. Journal of Finance, 61(1), 105–101.CrossRefGoogle Scholar
  290. Zhang, C. Y., & Jacobsen, B. (2012). Are monthly seasonals real? A three century perspective. Review of Finance, 17(5), 1743–1785.CrossRefGoogle Scholar
  291. Zhou, G., & Zhu, Y. (2013). An equilibrium model of moving-average predictability and time-series momentum. Available at SSRN. doi: Accessed 23 Oct 2017.

Copyright information

© The Author(s) 2018

Authors and Affiliations

  • Adam Zaremba
    • 1
  • Jacob “Koby” Shemer
    • 2
  1. 1.Poznan University of Economics and BusinessPoznanPoland
  2. 2.AlphaBetaTel AvivIsrael

Personalised recommendations