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A Critique of Momentum Anomalies

https://doi.org/10.2139/ssrn.3341275
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30/30 checkable references clean · checked 2026-08-05

Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.

2 without a DOI — not checked. A reference deposited without a DOI is never matched by title or guessed at; it stays outside the checked set, and this line discloses that.

The 30 checked references that resolve
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Value and Momentum Everywhere
resolves10.1093/rfs/hhj025
Asset Pricing Models and Financial Market Anomalies
resolves10.2139/ssrn.2144204
The Bottom-Up Beta of Momentum
resolves10.1016/j.jfineco.2014.11.010
Momentum has its moments
resolves10.1093/rfs/8.2.275
A Critique of Size-Related Anomalies
resolves10.1111/0022-1082.00161
Optimal Investment, Growth Options, and Security Returns
resolves10.1111/j.1540-6261.2007.01226.x
On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing
resolves10.1111/j.1540-6261.1997.tb03808.x
On Persistence in Mutual Fund Performance
resolves10.2139/ssrn.2326753
Measuring the 'Dark Matter' in Asset Pricing Models
resolves10.1111/j.1540-6261.1991.tb03750.x
Production‐Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations
resolves10.1111/j.1540-6261.2011.01671.x
Presidential Address: Discount Rates
resolves10.1093/rfs/11.3.489
An Anatomy of Trading Strategies
resolves10.1016/j.jfineco.2015.12.002
Momentum crashes
resolves10.1046/j.1540-6261.2003.00614.x
Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole
resolves10.1093/rfs/14.1.29
Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing
resolves10.1093/rfs/hhu068
Digesting Anomalies: An Investment Approach
resolves10.1111/j.1540-6261.1993.tb04702.x
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
resolves10.1146/annurev-financial-102710-144850
Momentum
resolves10.1111/1540-6261.00435
Rational Momentum Effects
resolves10.1016/0304-405X(92)90003-G
Stock return variation and expected dividends
resolves10.1111/0022-1082.00347
Consumption, Aggregate Wealth, and Expected Stock Returns
resolves10.2307/1924119
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
resolves10.1093/rfs/hhn090
Momentum Profits, Factor Pricing, and Macroeconomic Risk
resolves10.1016/0022-0531(72)90142-1
Expectations and the neutrality of money
resolves10.1093/qje/qjw034
What is the Expected Return on the Market?*
resolves10.2307/1909635
Rational Expectations and the Theory of Price Movements
resolves10.3386/w20985
How Can a Q-Theoretic Model Price Momentum?
resolves10.1016/s0304-405x(98)00020-8
Book-to-market ratios as predictors of market returns
resolves10.1111/j.1540-6261.1964.tb02865.x
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
resolves10.1093/rfs/hhm014
A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
The 2 references without a DOI — listed, not checked
no DOI — not checkedref4
no DOI — not checkedref31
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