Origin and Evolution of Momentum: A Literature Review
Research Article
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Origin and Evolution of Momentum: A Literature Review

Zimeng Cao 1, Xiaofeng He 2, Xinyue Zhang 3* Yiqi Zhang 4
1 Chongqing Technology and Business University
2 BNU-HKBU United International College
3 Sun Yat-sen University
4 University of Glasgow
*Corresponding author: zhangxy775@mail2.sysu.edu.cn
Published on 9 September 2025
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AEMPS Vol.215
ISSN (Print): 2754-1177
ISSN (Online): 2754-1169
ISBN (Print): 978-1-80590-357-4
ISBN (Online): 978-1-80590-358-1
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Abstract

The multi-factor models are playing an indispensable role in understanding the systematic risk and the market perception of value across assets. Within the zoo of factors, the momentum factor and the robustness of its associated returns have captured substantial attention in the asset pricing research. We briefly tracked the evolution of the multi-factor models with a particular emphasis on the multidimensional elaboration of momentum. We present a comprehensive review of the theoretical underpinnings and empirical evidence pertaining to momentum, as documented in extant literature. Our analysis synthesizes the current state of knowledge, illuminating the significance of momentum in contemporary asset pricing and its implications on the financial markets.

Keywords:

momentum, asset pricing, factor model, behavioral finance

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Cao,Z.;He,X.;Zhang,X.;Zhang,Y. (2025). Origin and Evolution of Momentum: A Literature Review. Advances in Economics, Management and Political Sciences,215,76-90.

References

[1]. Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442.

[2]. Lintner, J. (1965). Security prices, risk, and maximal gains from diversification. The Journal of Finance, 20(4), 587-615.

[3]. Markowitz, H. (1952). The utility of wealth. Journal of Political Economy, 60(2), 151-158.

[4]. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.

[5]. Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82.

[6]. Fama, E.F., and French, K.R. (2015) A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22.

[7]. Jegadeesh, N., and Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 48, 65-91.

[8]. Douglas, George W. (1968). Risk in the Equity Markets: An Empirical Appraisal of Market Efficiency. Ann Arbor, Michigan: University Microfilms, Inc.

[9]. Black, F., Jensen, M. C., & Scholes, M. (1972). The capital asset pricing model: Some empirical tests.

[10]. Blume, M. E., & Friend, I. (1973). A new look at the capital asset pricing model. The Journal of Finance, 28(1), 19-33.

[11]. Black, F. (1972) Capital market equilibrium with restricted borrowing. Journal of Business, 45(3), 444-455.

[12]. Fama, E.F., and French, K.R. (2006) The value premium and the CAPM. Journal of Finance, 61(5), 2163-2185.

[13]. Roll, R. (1977) A critique of the asset pricing theory's tests: Part I: On past and potential testability of the theory. Journal of Financial Economics, 4(2), 129-176.

[14]. Ross, S.A. (1976) The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341-360.

[15]. Baker, M., and Wurgler, J. (2006) Investor sentiment and the cross-section of stock returns. Journal of Finance, 61(4), 1645-1680.

[16]. Camerer, C. (1989) Does the basketball market believe in the 'hot hand'? American Economic Review, 79(5), 1257-1261.

[17]. Hendricks, D., Patel, J., & Zeckhauser, R. (1993). Hot hands in mutual funds: Short‐run persistence of relative performance, 1974–1988. The Journal of Finance, 48(1), 93-130.

[18]. Goetzmann, W.N., and Ibbotson, R.G. (1994) Do winners repeat? Patterns in mutual fund performance. Journal of Portfolio Management, 20, 9-18.

[19]. Brown, S.J., and Goetzmann, W.N. (1995) Performance persistence. Journal of Finance, 50, 679-698.

[20]. Brown, S., Goetzmann, W., Ibbotson, R., and Ross, S. (1992) Survivorship bias in performance studies. Review of Financial Studies, 5(4), 553-580.

[21]. Levy, R.A. (1967) Relative strength as a criterion for investment selection. Journal of Finance, 22, 595–610.

[22]. Jensen, M.C., and Bennington, G. (1970) Random walks and technical theories: Some additional evidence. Journal of Finance, 25(2), 469-482.

[23]. Grinblatt, M., and Titman, S. (1989) Mutual fund performance: An analysis of quarterly portfolio holdings. Journal of Business, 62, 393–416.

[24]. Grinblatt, M., and Titman, S. (1992) The persistence of mutual fund performance. Journal of Finance, 47, 1977-1984.

[25]. Asness, C.S. (1994) The power of past stock returns to explain future stock returns. Working paper, University of Chicago.

[26]. Jegadeesh, N., and Titman, S. (2001) Profitability of momentum strategies: An evaluation of alternative explanations. Journal of Finance, 56, 699–720.

[27]. Chabot, B., Remy Ghysels, E., and Jagannathan, R. (2009) Momentum cycles and limits to arbitrage - evidence from Victorian England and post-depression U.S. stock markets. Working paper, Northwestern University, Evanston, IL.

[28]. Geczy, C., and Samonov, M. (2015) Two centuries of price return momentum. Unpublished working paper, Wharton School of the University of Pennsylvania.

[29]. Grinblatt, M., and Han, B. (2005) Prospect theory, mental accounting, and momentum. Journal of Financial Economics, 78, 311-339.

[30]. Shleifer, A., and Summers, L.H. (1990) The noise trader approach to finance. Journal of Economic Perspectives, 4, 19-33.

[31]. Kho, B.C. (1996) Time-varying risk premia, volatility, and technical trading rule profits: Evidence from foreign currency futures markets. Journal of Financial Economics, 41, 249-290.

[32]. Okunev, J., and White, D. (2003) Do momentum-based strategies still work in foreign currency markets? Journal of Financial and Quantitative Analysis, 38, 425–447.

[33]. Fung, W., & Hsieh, D. A. (2001). The risk in hedge fund strategies: Theory and evidence from trend followers. The Review of Financial Studies, 14(2), 313-341.

[34]. Spurgin, R. (1999) A benchmark for commodity trading advisor performance. Journal of Alternative Investments, 2, 11-21.

[35]. Erb, C.B., and Harvey, C.R. (2006) The strategic and tactical value of commodity futures. Financial Analysts Journal, 62, 69–97.

[36]. Shen, C., Liu, Z., and Song, Z. (2017) Investor sentiment and economic forces. Journal of Monetary Economics, 86, 1-21.

[37]. Moskowitz, T.J., Ooi, Y.H., and Pedersen, L.H. (2012) Time series momentum. Journal of Financial Economics, 104, 228–250.

[38]. Gorton, G., Hayashi, F., and Rouwenhorst, K. (2008) The fundamentals of commodity futures returns. National Bureau of Economic Research Working Papers.

[39]. Jostova, G., Nikolova, S., Philipov, A., and Stahel, C.W. (2010) Momentum in corporate bond returns. The Review of Financial Studies, 26 (7), 1649-1693.

[40]. Asness, C.S., Moskowitz, T.J., and Pedersen, L.H. (2013) Value and momentum everywhere. Journal of Finance, 58, 929–985.

[41]. Gebhardt, W.R., Hvidkjaer, S., and Swaminathan, B. (2005) Stock and bond market interaction: does momentum spill over? Journal of Financial Economics, 75 (3), 651-690.

[42]. Pitkäjärvi, A., Suominen, M., and Vaittinen, L. (2020) Cross-asset signals and time series momentum. Journal of Financial Economics, 136 (1), 63-85.

[43]. Satchell, S., & Grant, A. (2020). Market Momentum: Theory and Practice. John Wiley & Sons.

[44]. Cole, C.D., Schneider, R., Hemley, D., and Nations, M. (2021) Time Series Momentum in Sector Based ETFs: Does a Momentum Effect Exist? Journal of Accounting and Finance, 21, (1), 41-53.

[45]. Dimkpah, Y. and Ngassam, C. (2013). The rise in equity exchange traded funds (etfs): the case of momentum? Academy of Accounting and Financial Studies Journal, 17, 95.

[46]. Ribeiro, D. F. P. (2021). US Tech ETF Momentum Strategies. ProQuest Dissertations & Theses.

[47]. Chui, A.C.W., Titman, S., and Wei, K.C.J. (2010) Individualism and momentum around the world. Journal of Finance, 65(1), 361-392.

[48]. Rouwenhorst, K.G. (1998) International momentum strategies. Journal of Finance, 53, 267–284.

[49]. Grinblatt, M., and Keloharju, M. (2000) The investment behavior and performance of various investor-types: A study of Finland’s unique data set. Journal of Financial Economics, 55, 43-67.

[50]. Rouwenhorst, K.G. (1999) Local return factors and turnover in emerging stock markets. Journal of Finance, 54, 1439–1464.

[51]. Balasubramaniam, V., Campbell, J.Y., Ramadorai, T., and Ranish, B. (2023) Who owns what? A factor model for direct stock holding. Journal of Finance, 78, 1545-1591

[52]. Jones, C.M., Shi, D., Zhang, X., and Zhang, X. (2020) Understanding retail investors: Evidence from China. Available at SSRN 3628809.

[53]. Yang, Y., Gebka, B., and Hudson, R. (2019) Momentum effects in China: A review of the literature and an empirical explanation of prevailing controversies. Research in International Business and Finance, 47, 78-101.

[54]. Frazzini, A., and Pedersen, L.H. (2010) Betting against beta. NBER Working Paper 16601. Available at SSRN: https: //ssrn.com/abstract=1723048.

[55]. Koijen, R.S.J., Moskowitz, T.J., Pedersen, L.H., and Vrugt, E.B. (2012) Working paper, University of Chicago.

[56]. Fama, E.F., and French, K.R. (2012) Size, value, and momentum in international stock returns. Journal of Financial Economics, 105(3), 457–472.

[57]. Karolyi, G.A., and Wu, Y. (2014) Size, value, and momentum in international stock returns: A new partial-segmentation approach. Cornell University Working Paper.

[58]. Cooper, I., Mitrache, A., and Priestley, R. (2020) A global macroeconomic risk model for value, momentum, and other asset classes. Journal of Financial and Quantitative Analysis, 57(1), 1-30.

[59]. Kahneman, D., Slovic, P., and Tversky, A. (Eds.). (1982) Judgment under uncertainty: Heuristics and biases. Cambridge University Press.

[60]. Klein, A. (2001) The real effects of accounting disclosures: Evidence from the market reaction to firm’s costs-of-equity capital. Journal of Accounting and Economics, 31(3), 339-370.

[61]. Grinblatt, M., and Han, B. (2005) Prospect theory, mental accounting, and momentum. Journal of Financial Economics, 78(2), 311-339.

[62]. George, T.J., and Hwang, C.Y. (2004) The 52-week high and momentum investing. Journal of Finance, 59(5), 2145-2176.

[63]. Kahneman, D., and Tversky, A. (1979) Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 263-291.

[64]. Thaler, R.H. (1980) Toward a positive theory of consumer choice. Journal of Economic Behavior & Organization, 1(1), 39-60.

[65]. Lemmon, M., and Portniaguina, E. (2006) Consumer confidence and asset prices: Some empirical evidence. Review of Financial Studies, 19(4), 1499-1529.

[66]. Jiang, F., Xu, M., and Yao, T. (2019) Does individual investor sentiment affect stock returns? Journal of Financial Economics, 132(1), 126-149.

[67]. Antoniou, C., Doukas, J.A., and Subrahmanyam, A. (2013) Cognitive dissonance, sentiment, and momentum. Journal of Financial and Quantitative Analysis, 48(1), 245-275.

[68]. Hong, H., and Stein, J.C. (1999) A unified theory of underreaction, momentum trading, and overreaction in asset markets. Journal of Finance, 54(6), 2143-2184.

[69]. Barberis, N., Shleifer, A., and Vishny, R. (1998) A model of investor sentiment. Journal of Financial Economics, 49(3), 307-343.

[70]. DeLong, J.B., Shleifer, A., Summers, L.H., and Waldmann, R.J. (1990) Noise trader risk in financial markets. Journal of Political Economy, 98(4), 703-738.

[71]. Daniel, K., Hirshleifer, D., and Subrahmanyam, A. (1998) Investor psychology and security market under- and overreactions. Journal of Finance, 53(6), 1839-1885.

[72]. Guo, X., Tang, Y., and Wang, S. (2022) The impact of investor sentiment on stock returns: New evidence from the Chinese stock market. Journal of Financial Markets, 58, 100624.

[73]. Johnson, T. C. (2002). Rational momentum effects. The Journal of Finance, 57(2), 585-608.

[74]. Berk, J. B., Green, R. C., & Naik, V. (1999). Optimal investment, growth options, and security returns. The Journal of Finance, 54(5), 1553-1607.

[75]. Sagi, J. S., & Seasholes, M. S. (2007). Firm-specific attributes and the cross-section of momentum. Journal of Financial Economics, 84(2), 389-434.

[76]. Jegadeesh, N., Kim, J., Krische, S.D., and Lee, C.M.C. (2011) Analyzing the analysts: When do recommendations add value? Journal of Finance, 66(2), 593-632.

[77]. Ehsani, S. and Linnainmaa, J.T. (2022). Factor momentum and the momentum factor. Journal of Finance, 77(3), 1877-1919.

References

[1]. Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442.

[2]. Lintner, J. (1965). Security prices, risk, and maximal gains from diversification. The Journal of Finance, 20(4), 587-615.

[3]. Markowitz, H. (1952). The utility of wealth. Journal of Political Economy, 60(2), 151-158.

[4]. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.

[5]. Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82.

[6]. Fama, E.F., and French, K.R. (2015) A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22.

[7]. Jegadeesh, N., and Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 48, 65-91.

[8]. Douglas, George W. (1968). Risk in the Equity Markets: An Empirical Appraisal of Market Efficiency. Ann Arbor, Michigan: University Microfilms, Inc.

[9]. Black, F., Jensen, M. C., & Scholes, M. (1972). The capital asset pricing model: Some empirical tests.

[10]. Blume, M. E., & Friend, I. (1973). A new look at the capital asset pricing model. The Journal of Finance, 28(1), 19-33.

[11]. Black, F. (1972) Capital market equilibrium with restricted borrowing. Journal of Business, 45(3), 444-455.

[12]. Fama, E.F., and French, K.R. (2006) The value premium and the CAPM. Journal of Finance, 61(5), 2163-2185.

[13]. Roll, R. (1977) A critique of the asset pricing theory's tests: Part I: On past and potential testability of the theory. Journal of Financial Economics, 4(2), 129-176.

[14]. Ross, S.A. (1976) The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341-360.

[15]. Baker, M., and Wurgler, J. (2006) Investor sentiment and the cross-section of stock returns. Journal of Finance, 61(4), 1645-1680.

[16]. Camerer, C. (1989) Does the basketball market believe in the 'hot hand'? American Economic Review, 79(5), 1257-1261.

[17]. Hendricks, D., Patel, J., & Zeckhauser, R. (1993). Hot hands in mutual funds: Short‐run persistence of relative performance, 1974–1988. The Journal of Finance, 48(1), 93-130.

[18]. Goetzmann, W.N., and Ibbotson, R.G. (1994) Do winners repeat? Patterns in mutual fund performance. Journal of Portfolio Management, 20, 9-18.

[19]. Brown, S.J., and Goetzmann, W.N. (1995) Performance persistence. Journal of Finance, 50, 679-698.

[20]. Brown, S., Goetzmann, W., Ibbotson, R., and Ross, S. (1992) Survivorship bias in performance studies. Review of Financial Studies, 5(4), 553-580.

[21]. Levy, R.A. (1967) Relative strength as a criterion for investment selection. Journal of Finance, 22, 595–610.

[22]. Jensen, M.C., and Bennington, G. (1970) Random walks and technical theories: Some additional evidence. Journal of Finance, 25(2), 469-482.

[23]. Grinblatt, M., and Titman, S. (1989) Mutual fund performance: An analysis of quarterly portfolio holdings. Journal of Business, 62, 393–416.

[24]. Grinblatt, M., and Titman, S. (1992) The persistence of mutual fund performance. Journal of Finance, 47, 1977-1984.

[25]. Asness, C.S. (1994) The power of past stock returns to explain future stock returns. Working paper, University of Chicago.

[26]. Jegadeesh, N., and Titman, S. (2001) Profitability of momentum strategies: An evaluation of alternative explanations. Journal of Finance, 56, 699–720.

[27]. Chabot, B., Remy Ghysels, E., and Jagannathan, R. (2009) Momentum cycles and limits to arbitrage - evidence from Victorian England and post-depression U.S. stock markets. Working paper, Northwestern University, Evanston, IL.

[28]. Geczy, C., and Samonov, M. (2015) Two centuries of price return momentum. Unpublished working paper, Wharton School of the University of Pennsylvania.

[29]. Grinblatt, M., and Han, B. (2005) Prospect theory, mental accounting, and momentum. Journal of Financial Economics, 78, 311-339.

[30]. Shleifer, A., and Summers, L.H. (1990) The noise trader approach to finance. Journal of Economic Perspectives, 4, 19-33.

[31]. Kho, B.C. (1996) Time-varying risk premia, volatility, and technical trading rule profits: Evidence from foreign currency futures markets. Journal of Financial Economics, 41, 249-290.

[32]. Okunev, J., and White, D. (2003) Do momentum-based strategies still work in foreign currency markets? Journal of Financial and Quantitative Analysis, 38, 425–447.

[33]. Fung, W., & Hsieh, D. A. (2001). The risk in hedge fund strategies: Theory and evidence from trend followers. The Review of Financial Studies, 14(2), 313-341.

[34]. Spurgin, R. (1999) A benchmark for commodity trading advisor performance. Journal of Alternative Investments, 2, 11-21.

[35]. Erb, C.B., and Harvey, C.R. (2006) The strategic and tactical value of commodity futures. Financial Analysts Journal, 62, 69–97.

[36]. Shen, C., Liu, Z., and Song, Z. (2017) Investor sentiment and economic forces. Journal of Monetary Economics, 86, 1-21.

[37]. Moskowitz, T.J., Ooi, Y.H., and Pedersen, L.H. (2012) Time series momentum. Journal of Financial Economics, 104, 228–250.

[38]. Gorton, G., Hayashi, F., and Rouwenhorst, K. (2008) The fundamentals of commodity futures returns. National Bureau of Economic Research Working Papers.

[39]. Jostova, G., Nikolova, S., Philipov, A., and Stahel, C.W. (2010) Momentum in corporate bond returns. The Review of Financial Studies, 26 (7), 1649-1693.

[40]. Asness, C.S., Moskowitz, T.J., and Pedersen, L.H. (2013) Value and momentum everywhere. Journal of Finance, 58, 929–985.

[41]. Gebhardt, W.R., Hvidkjaer, S., and Swaminathan, B. (2005) Stock and bond market interaction: does momentum spill over? Journal of Financial Economics, 75 (3), 651-690.

[42]. Pitkäjärvi, A., Suominen, M., and Vaittinen, L. (2020) Cross-asset signals and time series momentum. Journal of Financial Economics, 136 (1), 63-85.

[43]. Satchell, S., & Grant, A. (2020). Market Momentum: Theory and Practice. John Wiley & Sons.

[44]. Cole, C.D., Schneider, R., Hemley, D., and Nations, M. (2021) Time Series Momentum in Sector Based ETFs: Does a Momentum Effect Exist? Journal of Accounting and Finance, 21, (1), 41-53.

[45]. Dimkpah, Y. and Ngassam, C. (2013). The rise in equity exchange traded funds (etfs): the case of momentum? Academy of Accounting and Financial Studies Journal, 17, 95.

[46]. Ribeiro, D. F. P. (2021). US Tech ETF Momentum Strategies. ProQuest Dissertations & Theses.

[47]. Chui, A.C.W., Titman, S., and Wei, K.C.J. (2010) Individualism and momentum around the world. Journal of Finance, 65(1), 361-392.

[48]. Rouwenhorst, K.G. (1998) International momentum strategies. Journal of Finance, 53, 267–284.

[49]. Grinblatt, M., and Keloharju, M. (2000) The investment behavior and performance of various investor-types: A study of Finland’s unique data set. Journal of Financial Economics, 55, 43-67.

[50]. Rouwenhorst, K.G. (1999) Local return factors and turnover in emerging stock markets. Journal of Finance, 54, 1439–1464.

[51]. Balasubramaniam, V., Campbell, J.Y., Ramadorai, T., and Ranish, B. (2023) Who owns what? A factor model for direct stock holding. Journal of Finance, 78, 1545-1591

[52]. Jones, C.M., Shi, D., Zhang, X., and Zhang, X. (2020) Understanding retail investors: Evidence from China. Available at SSRN 3628809.

[53]. Yang, Y., Gebka, B., and Hudson, R. (2019) Momentum effects in China: A review of the literature and an empirical explanation of prevailing controversies. Research in International Business and Finance, 47, 78-101.

[54]. Frazzini, A., and Pedersen, L.H. (2010) Betting against beta. NBER Working Paper 16601. Available at SSRN: https: //ssrn.com/abstract=1723048.

[55]. Koijen, R.S.J., Moskowitz, T.J., Pedersen, L.H., and Vrugt, E.B. (2012) Working paper, University of Chicago.

[56]. Fama, E.F., and French, K.R. (2012) Size, value, and momentum in international stock returns. Journal of Financial Economics, 105(3), 457–472.

[57]. Karolyi, G.A., and Wu, Y. (2014) Size, value, and momentum in international stock returns: A new partial-segmentation approach. Cornell University Working Paper.

[58]. Cooper, I., Mitrache, A., and Priestley, R. (2020) A global macroeconomic risk model for value, momentum, and other asset classes. Journal of Financial and Quantitative Analysis, 57(1), 1-30.

[59]. Kahneman, D., Slovic, P., and Tversky, A. (Eds.). (1982) Judgment under uncertainty: Heuristics and biases. Cambridge University Press.

[60]. Klein, A. (2001) The real effects of accounting disclosures: Evidence from the market reaction to firm’s costs-of-equity capital. Journal of Accounting and Economics, 31(3), 339-370.

[61]. Grinblatt, M., and Han, B. (2005) Prospect theory, mental accounting, and momentum. Journal of Financial Economics, 78(2), 311-339.

[62]. George, T.J., and Hwang, C.Y. (2004) The 52-week high and momentum investing. Journal of Finance, 59(5), 2145-2176.

[63]. Kahneman, D., and Tversky, A. (1979) Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 263-291.

[64]. Thaler, R.H. (1980) Toward a positive theory of consumer choice. Journal of Economic Behavior & Organization, 1(1), 39-60.

[65]. Lemmon, M., and Portniaguina, E. (2006) Consumer confidence and asset prices: Some empirical evidence. Review of Financial Studies, 19(4), 1499-1529.

[66]. Jiang, F., Xu, M., and Yao, T. (2019) Does individual investor sentiment affect stock returns? Journal of Financial Economics, 132(1), 126-149.

[67]. Antoniou, C., Doukas, J.A., and Subrahmanyam, A. (2013) Cognitive dissonance, sentiment, and momentum. Journal of Financial and Quantitative Analysis, 48(1), 245-275.

[68]. Hong, H., and Stein, J.C. (1999) A unified theory of underreaction, momentum trading, and overreaction in asset markets. Journal of Finance, 54(6), 2143-2184.

[69]. Barberis, N., Shleifer, A., and Vishny, R. (1998) A model of investor sentiment. Journal of Financial Economics, 49(3), 307-343.

[70]. DeLong, J.B., Shleifer, A., Summers, L.H., and Waldmann, R.J. (1990) Noise trader risk in financial markets. Journal of Political Economy, 98(4), 703-738.

[71]. Daniel, K., Hirshleifer, D., and Subrahmanyam, A. (1998) Investor psychology and security market under- and overreactions. Journal of Finance, 53(6), 1839-1885.

[72]. Guo, X., Tang, Y., and Wang, S. (2022) The impact of investor sentiment on stock returns: New evidence from the Chinese stock market. Journal of Financial Markets, 58, 100624.

[73]. Johnson, T. C. (2002). Rational momentum effects. The Journal of Finance, 57(2), 585-608.

[74]. Berk, J. B., Green, R. C., & Naik, V. (1999). Optimal investment, growth options, and security returns. The Journal of Finance, 54(5), 1553-1607.

[75]. Sagi, J. S., & Seasholes, M. S. (2007). Firm-specific attributes and the cross-section of momentum. Journal of Financial Economics, 84(2), 389-434.

[76]. Jegadeesh, N., Kim, J., Krische, S.D., and Lee, C.M.C. (2011) Analyzing the analysts: When do recommendations add value? Journal of Finance, 66(2), 593-632.

[77]. Ehsani, S. and Linnainmaa, J.T. (2022). Factor momentum and the momentum factor. Journal of Finance, 77(3), 1877-1919.

Cite this article

Cao,Z.;He,X.;Zhang,X.;Zhang,Y. (2025). Origin and Evolution of Momentum: A Literature Review. Advances in Economics, Management and Political Sciences,215,76-90.

Data availability

The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.

About volume

Volume title: Proceedings of the 4th International Conference on Financial Technology and Business Analysis

ISBN: 978-1-80590-357-4(Print) / 978-1-80590-358-1(Online)
Editor: Lukáš Vartiak
Conference website: https://2025.icftba.org/
Conference date: 12 December 2025
Series: Advances in Economics, Management and Political Sciences
Volume number: Vol.215
ISSN: 2754-1169(Print) / 2754-1177(Online)

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