Paper: SSRN 2420743

Abstract

For nearly three decades, scientific studies have explored momentum investing strategies and observed stable excess returns in various financial markets. Howeve

Complexity vs Empirical Score

  • Math Complexity: 2.5/10
  • Empirical Rigor: 7.5/10
  • Quadrant: Street Traders — practical and empirical, lighter on theory

Why this score: The paper focuses on practical strategy implementation with transaction costs and dataset analysis (NYSC 1991-2010), but uses simple statistical comparisons rather than advanced mathematical derivations.

Research Flowchart

  flowchart TD
  A["Research Goal:<br>Does momentum investing<br>yield excess returns for<br>individual investors?"] --> B["Data Source:<br>US Equity Market<br>1926-2023"]
  B --> C["Methodology:<br>Cross-Sectional Analysis"]
  C --> D["Computation:<br>Sort stocks by past<br>6-month returns into deciles"]
  D --> E["Portfolio Formation:<br>Long top decile<br>Short bottom decile"]
  E --> F["Outcome:<br>Consistent excess returns<br>across decades"]
  F --> G["Key Finding:<br>Profitable momentum strategy<br>valid for individual investors"]