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The purpose of this paper is to test the performance of momentum strategies and identify the sources of their profits.

To identify the main source of momentum profits, first, the bootstrap method with replacement was used. Then, to eliminate the existence of the small sample bias, the bootstrap method without replacement and the block bootstrap method were employed. In this case, when the authors draw the observations without replacement the random effect is reduced, whereas the resampling procedure is based on the random draw.

The empirical results show the existence of a small sample bias in the bootstrap method with replacement, and that the time‐series relations of stock returns are the main source of momentum profits.

To ensure the random effect of the draws, the authors develop a new resampling procedure called the mixed bootstrap method.

In the present study, we investigate whether enhanced momentum strategies outperform price momentum strategies and if they show greater resilience and stability under adverse market conditions. We also examine if such strategies are explained by prominent asset pricing models or are a result of behavioral mispricing.

Data consist of the equity shares of all companies listed on National Stock Exchange over the study period. To check the efficacy of enhanced momentum over price momentum, six momentum strategies have been designed and their raw as well as risk-adjusted returns using multi-factor models have been observed. Behavioral mispricing has been examined by constructing an investor attention index. Finally, few robustness tests have been performed to confirm the results.

We find that an enhanced momentum strategy which combines relative and absolute strength momentum outperforms conventional price momentum strategy in India. We also demonstrate that rational pricing models are not able to explain momentum profits for any of the strategies. Finally, we observe that investor overreaction is the possible explanation of momentum profits in India. Thus, our results confirm the role of behavioral mispricing in explaining momentum returns.

Our research is the first major attempt to study enhanced momentum strategies in the Indian context. We experiment with several new enhanced momentum strategies which have not been explored in prior literature. The findings have strong implications for global portfolio managers who wish to design profitable trading strategies.

We examine the incremental cross-sectional role of several common risk factors related to size, book-to-market, and momentum in size-and-momentum-sorted portfolios. Unlike the existing literature, which focuses on the conditional mean specification only, we evaluate the common risk factors’ incremental explanatory power in the cross-sectional characterization of both average return and conditional volatility. We also investigate the role of ex-ante market risk in the cross-section. The empirical results demonstrate that the size-and-momentum-based risk factors explain a significant portion of the cross-sectional average returns and cross-sectional conditional volatility of the benchmark equity portfolios. We find that the Fama–French (1993) factors and the ex-ante market risk are priced in the cross-sectional conditional volatility. We conclude that the size-and-momentum-based factors provide a source of risk that is independent of the Fama–French factors as well as ex-post and ex-ante market risk. Our results bolster the risk-based explanation of the size and momentum effects.

Ever since the publication of the original Jegadeesh and Titman (1993) study, momentum effect has been tested vigorously to validate its pervasiveness for different time periods and across different markets. In spite of numerous out-of-sample tests, there is one apparent alibi – little research has been devised for steady increasing of Shari’ah compliant stocks.

This study is to examine the momentum strategy returns in a global Shari’ah compliant stock setting.

It finds strong presence of stock momentum returns for Pakistan and Malaysia. And the momentum returns are neither driven by industry momentum nor by the small size stocks. Though no momentum profits are found for the portfolios formed by global Shari’ah compliant stocks, this seems to be largely due to return reversal for the small size Shari’ah compliant stocks.

The strong presence of momentum profits for relatively large Shari’ah compliant stocks is a desirable trait as it indicates that the momentum trading strategies are practical and implementable.

What explains patterns in stock prices is an important question. One such pattern, price momentum, is a well-known capital markets anomaly where recent stock price performance appears to continue into the future. This momentum is frequently thought to reflect delayed reaction by investors to unspecified information (i.e. underreaction). This study aims to provide a useful insight regarding momentum: potential mispricing related to accounting fundamentals appears to conceal longer-term reversals in price momentum. Controlling for these fundamentals reveals that price momentum reverses, indicating that investor overreaction is a potentially important source of stock price momentum. The evidence presented in this study emphasizes the importance of decoupling momentum and accounting fundamentals to achieve a more complete understanding of what explains stock price momentum.

This study explores this question by examining the longer-term performance of momentum stocks in the US market after decoupling it from performance related to accounting fundamentals using returns to fundamentals-based factors as controls in time series regressions.

This study finds evidence of clear reversals in the remaining price momentum. These reversals provide a new insight into the momentum effect because they imply that the component of price momentum not traceable to accounting fundamentals reflects investor overreaction rather than underreaction.

The findings indicate that the underlying nature of the information driving price movements is important to achieving a complete understanding of what explains price momentum. To the best of the author’s knowledge, no other study has examined the behavior of stock price momentum while controlling for accounting fundamentals.

The purpose of this paper is to examine positive‐feedback (PF) behavior and its relationship to momentum profitability and information uncertainty.

Using the behavioral function of rational traders and feedback traders, the authors jointly estimate the mean and conditional variance equations of the GARCH model to derive the positive‐ and non‐positive‐feedback coefficients, respectively. In each six‐month period, the number of PF stocks were then calculated as a fraction of the total number of stocks in that period. The authors then investigate whether day‐to‐day PF trading activities vary across different momentum portfolios by calculating the percentage of PF stocks in each decile portfolio.

This study finds that about 9.4 per cent of stocks exhibit PF trading activities and that these activities have a more profound effect on stocks with a higher level of information uncertainty. The finding shows that the percentage of stocks with PF trading is higher in the portfolios of extreme losers than in the portfolios of extreme winners. The evidence suggests that stocks exhibiting PF trading activities subsequently experience significantly higher momentum returns.

This paper presents evidence to test whether a relationship exists between short‐term PF trading and future momentum profitability. Since PF traders tend to chase price movements, PF trading is more likely to cause stock prices to further diverge from the firm's fundamentals and, therefore, give rise to stock return momentum. This phenomenon appears to be more profound in this study when there is a higher level of information uncertainty.

The analysis aims to explore how momentum return changes with alternative computational methods and the extent to which the portfolio structure is important in the momentum context.

The focus reflected in the prior research emphasises the method used by Jegadeesh and Titman and various extensions to test whether momentum returns exist. This study uses alternative methods of buying previous Winners and short‐selling previous Losers to determine if this significantly changes the returns.

The current study clarifies the impact of several contributory factors that impact upon estimated momentum returns. The large sample of cleaned data upon which this study is based provides a higher degree of confidence that the findings are sound and not just a statistical anomaly.

The research is important from a practitioner perspective as details of momentum return are presented for each country using different methods, providing information regarding the most profitable country in which to invest and whether the momentum return is sustainable under different formative approaches.

One of the important contributions of this study is a detailed empirical analysis, presenting results in a global context rather than on a single country basis.

The purpose of this paper is to evaluate if there are any momentum patterns in stock and sectoral returns and if they can be explained by the risk factors.

The methodology involves portfolio generation based on company characteristics and short‐term prior return (six to 12 months). The characteristic‐sorted portfolios are then regressed on risk factors using one‐factor (CAPM) and multi‐factor model (Fama French model and four‐factor model involving three Fama French factors and an additional sectoral momentum factor).

The authors find momentum profits in Indian context for prior return portfolios which are stronger for 6‐6 compared to 12‐12 strategies. These momentum profits are larger for some characteristic‐sorted portfolios. Risk models such as CAPM and Fama French model fail to capture momentum profits. In fact, winner portfolios generally comprise large firm and high P/B stocks, thus defying the risk story. Some zero investment momentum‐based trading strategies do provide significant payoffs. The authors also observe momentum profits in sectoral returns. A part of stock momentum profits is captured by sectoral factor, thus implying that it may mainly be an outcome of sectoral momentum.

The findings are pertinent for portfolio managers and investment analysts who are continuously in pursuit of trading strategies that provide extra normal returns. From an academic point of view, the authors suggest that sectoral factor should be used in the multi‐factor framework for explaining asset returns.

The study contributes to the asset pricing and behavioral literature from emerging markets.

Over the past three decades, numerous conceptual and empirical studies have discussed momentum investment strategies’ presence, pervasiveness and persistence. However, science mapping in the field is inadequate. Hence, this study aims to comprehend and explore current dynamics, understand knowledge progression, elicit trends through thematic map analysis, synthesize knowledge structures and provide future research directions in this domain.

The study applies bibliometric analysis on 562 Scopus indexed articles from 1986 to 2021. Biblioshiny version 3.1.4, a Web-based application included in Bibiliometrix package developed in R-language (Aria and Cuccurullo, 2017), was used to examine: the most prominent articles, journals, authors, institutions and countries and to understand the thematic evolution and to elicit trends through the synthesis of knowledge structures including conceptual, intellectual and social structures of the field.

Motor themes, basic transverse, niche and emerging and declining themes were identified using (Callon, 1991) strategic thematic map. Besides, four major clusters based on a cocitation network of documents were identified: empirical evidence and drivers of momentum returns, theories explaining momentum returns and implications for asset pricing and market efficiency, avoiding momentum crashes and momentum in alternative asset classes, alternative explanations for momentum returns. The study infers that momentum research is becoming multidisciplinary given the dominance of behavioral theories and economic aspects in explaining the persistence of momentum profits and offers future research directions.

The study deploys bibliometric analysis, appropriate for deriving insights from the vast extant literature. However, a meta-analysis might offer deeper insights into specific dimensions of the research topic. Besides, the study’s findings are based on Scopus indexed articles analyzed using bibilioshiny; the database and software limitations might have affected the findings.

The study is a ready reckoner for scholars who intend to recognize the evolution of momentum investment strategies, current dynamics and future research direction. The study offers practitioners insights into efficiently designing and deploying momentum investment strategies and ways to avoid momentum crashes.

The study offers insights into the irrational behavior and systematic errors committed by market participants that helps regulators and policymakers to direct investors’ educational efforts to minimize systematic behavioral errors and related adverse financial consequences.

This comprehensive study on momentum investment strategies evaluates research trends and current dynamics draws a thematic map, knowledge progression in the field and offers future research directions.

Momentum returns are considered an anomaly in the finance literature as their existence cannot be fully explained under the asset pricing paradigm. This study attempts to shed more light on this anomaly by investigating the determinants of momentum returns.

The panel data technique is applied to the sample of 40 countries worldwide from 1996 to 2018. The authors use the panel-corrected standard error (PCSE) model to estimate the coefficient of World Governance Indicators (WGI), whereas the fixed effect model is used to determine the coefficient for corporate governance indicators (CGIs). The choice of PCSE estimation methods is guided by the fact that WGI variables are subjected to serial correlation, heteroskedasticity and cross-sectional dependence problems while CGI variables are not. Furthermore, a composite WGI index is constructed using principal component analysis (PCA).

Regression analysis shows a negative and significant relationship between WGI index and momentum returns. The negative coefficient value of WGI supports the prediction of the overreaction hypothesis, which postulates a lower behavioral bias in the market with high governance quality. Breaking down of the WGI by their six indicators reveals that four of the indicators (control over corruption, government effectiveness, stability and avoidance of violence) are negative statistically significant with momentum returns while two indicators are not significant. As for CGIs, only one (strength of investor protection) of the four tested indicators is negative and significantly related to momentum returns.

The study fills the gap in economic literature by highlighting the association between governance quality at the country (WGI) and firm level (CGI) on stock momentum returns.