What Can Explain Momentum? Evidence from Decomposition
(2021)
Journal Article
Guo, J., Li, P., & Li, Y. (2022). What Can Explain Momentum? Evidence from Decomposition. Management Science, 68(8), 6184-6218. https://doi.org/10.1287/mnsc.2021.4135
This study comprehensively evaluates and ranks a large number of competing explanations for the momentum anomaly. As a benchmark for evaluation, firm fundamentals are found to be the most promising among well-known explanations of momentum, followed... Read More about What Can Explain Momentum? Evidence from Decomposition.