Is Momentum Really Dead?
Earlier this week, we examined a study that sought to determine whether the publication of academics’ findings on the momentum factor have led to a disappearing premium. To review, Steven Dolvin and Bryan Foltice, authors of the 2016 study “Where Has the Trend Gone? An Update on Momentum Returns in the U.S. Stock Market,” found that in two overlapping subperiods from their sample (both ended in 2015 and each was less than 10 years long), the risk-adjusted returns to momentum no longer followed the clear, monotonic distribution typically exhibited in prior research.
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