Macro Analysis /
United Kingdom

GB : Strategy - What’s momentum, anyway?

    Joachim Klement
    Joachim Klement

    Analyst - Strategy, Accounting, and Sustainability (SAS)

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    CGS-CIMB
    29 March 2022
    Published byCGS-CIMB

    Price momentum is one of the strongest anomalies in stock markets. We know momentum strategies create excess returns over the market and these excess returns are . Momentum effects have also been documented and it can be shown that momentum in one asset class creates momentum in another.