Abstract
This comprehensive research study aims to highlight the evolution of momentum investing research and identify the mature and emerging themes in momentum investing. This study reviews 532 research studies published between 1993 and 2019. The study uses a combination of various bibliometric and network analysis tools to identify the most influential research studies, key journals and leading authors. Bibliometric and network analysis also help in the broader classification of research studies into four major categories. Further, a rigorous investigation of these research studies identifies various loopholes and propose actionable themes for next-generation research.
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Notes
Conservatism refers to the tendency of investors to stick with their original beliefs (past information) which results in a slow reaction to new information.
Investors’ myopia signifies investors’ propensity to overweight the temporary price changes than long-run intrinsic value (Docherty and Hurst 2018).
Daniel et al. (1998) find that overconfident traders pay more attention to own private information than public information. Self-attribution cause continuing overreaction if public information validates the private information.
4 Disposition effect refers to the investors’ tendency to hold losing stocks longer than winning stocks (Shefrin and Statman 1985).
Total volatility of a stock's return can be divided into two portions (a) explainable portion (b) residual portion. The residual portion (the portion of total volatility of a stock's return that cannot be captured by market model) is called idiosyncratic volatility.
Cooper et al. (2004) define up and down market states with the help of lagged 36 months' market return. For a particular month, if lagged 36 months' market return is positive, then the market is said to be in UP market state; otherwise, the market is said to be in downstate.
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Singh, S., Walia, N. Momentum investing: a systematic literature review and bibliometric analysis. Manag Rev Q 72, 87–113 (2022). https://doi.org/10.1007/s11301-020-00205-6
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DOI: https://doi.org/10.1007/s11301-020-00205-6