A Review of Momentum as an Investment Strategy

Authors

  •   Ranajee Assistant Professor - E-008, Department of Finance, IBS Hyderabad (A Constituent of IFHE, Deemed to be University), Dontanapally, Shankerpally Road, Hyderabad-501 203
  •   Rajesh Pathak Assistant Professor - E-005, Department of Finance, IBS Hyderabad (A Constituent of IFHE, Deemed to be University) Dontanapally, Shankerpally Road, Hyderabad-501 203
  •   Satish Kumar Assistant Professor - E-006, Department of Finance, IBS Hyderabad (A Constituent of IFHE, Deemed to be University Dontanapally, Shankerpally Road, Hyderabad-501 203

DOI:

https://doi.org/10.17010/ijf/2015/v9i10/79556

Keywords:

Momentum

, Price Momentum, Earning Momentum, Volatility, Market State, Information Diffusion.

G1

, G2, G3

Paper Submission Date

, April 5, 2015, Paper sent back for Revision, July 6, Paper Acceptance Date, July 27, 2015

Abstract

Existing literature claims momentum as a profitable investment strategy. It is widely documented in finance literature that momentum profit has explanatory power, and it provides additional information for explaining the abnormal returns of the stocks. The paper was written with a purpose to report the findings of existing literature to identify decompose and define the dynamics of momentum as an investment strategy. The contribution of the study would broadly be four folded: (a) The outcome of the study fills the void in the existing stocks of literature on momentum investing strategies, (b) the presence of momentum profits may induce the investors to develop momentum investment strategies so as to minimize the vulnerability, and (c) understanding of the drivers of momentum profits in the up market and down market states of the market may help the market participants to devise their trading strategies under momentum investing, (d) the knowledge of volatility behaviour of winners, losers, and momentum profits and the volatility drivers of momentum would contribute to market participants in trading of volatility risk and returns.

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Published

2015-10-01

How to Cite

Ranajee, ., Pathak, R., & Kumar, S. (2015). A Review of Momentum as an Investment Strategy. Indian Journal of Finance, 9(10), 7–21. https://doi.org/10.17010/ijf/2015/v9i10/79556

Issue

Volume 9, Issue 10, October 2015

Section

Articles
Crossref
Scopus
Google Scholar
Europe PMC

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