The Profitability of Momentum Investing
检验了1977至1998年间英国股市的动量利润，发现其显著存在且不能被规模、账面市值比等常见因子解释，表明动量效应源于市场对特定信息的反应不足。
We test for the presence of momentum profits in the UK over the period 1977 to 1998. The analysis shows that significant momentum profits are present in both a comprehensive sample of UK stocks and an accounting sub‐sample. An analysis of sub‐period results, seasonal effects, and the persistence of momentum profits confirms the robustness of the results. Controlling for factors known to be associated with differences in average returns, such as size, stock price, book‐to‐market ratio, and cash earnings‐to‐price ratio, cannot explain momentum profits. We also confirm that serial correlation in common factors and delayed price reaction to common factor realisations cannot explain momentum profits. We conclude that the momentum effect derives from market underreaction to either industry‐ or firm‐specific information and it is a significant, independent phenomenon in UK stock returns.