A Review of Momentum As An Investment Strategy

Abstract

Existing literature claims momentum as a profitable investment strategy. It is widely documented in finance literature thatmomentum profit has explanatory power, and it provides additional i nformation for expla i ning the abnormal returns of thestocks. The paper was written with a purpose to report the findings of existing literature to identify decompose and define thedynamics of momentum as an investment strategy. The contribution of the study would broadly be four folded : (a) Theoutcome of the study fills the void in the existing stocks of literature on momentum investing strategies, (b) the presence ofmomentum 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 themarket participants to devise their trading strategies under momentum investing , (d) the knowledge of volatility behaviour ofwinners , losers, and momentum profits and the volatility drivers of momentum would contribute to market participants intrading ofvolatility risk and returns.