Academic Backtest

The momentum papers we have studied, and the two we have re-tested.

These are papers we have read while researching and building our methodology. Listing a paper here does not mean we endorse it, that we agree with its conclusions, or that any Beat The Market strategy uses its method. Where we have published a replication of a paper on our own data, the entry links to it.

Replicated on our own data

Paper 01 of 02

Jegadeesh, N. and Titman, S. (1993)

Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

Journal of Finance, 48(1)

Open re-test

Paper 02 of 02

George, T.J. and Hwang, C.Y. (2004)

The 52-Week High and Momentum Investing

Journal of Finance, 59(5)

Open re-test

Industry momentum

Moskowitz, T.J. and Grinblatt, M. (1999)

Do Industries Explain Momentum?

Journal of Finance, 54(4)

Residual and idiosyncratic momentum

Gutierrez, R.C. and Prinsky, C.A. (2007)

Residual and idiosyncratic momentum

Blitz, D., Huij, J. and Martens, M. (2011)

Residual Momentum

Journal of Empirical Finance

Blitz, D., Hanauer, M.X. and Vidojevic, M. (2020)

Residual and idiosyncratic momentum

International Review of Economics & Finance, 69

Hanauer, M.X. and Windmüller, S. (2023)

Residual and idiosyncratic momentum, model comparison

Journal of Banking & Finance

Huij, J. and Lansdorp, S. (2017)

Residual and idiosyncratic momentum

SSRN Working Paper 2929306

Beta and quality conditioning

Frazzini, A. and Pedersen, L.H. (2014)

Betting Against Beta

Journal of Financial Economics

Asness, C.S., Frazzini, A. and Pedersen, L.H. (2019)

Quality Minus Junk

Review of Asset Pricing Studies

Grundy, B.D. and Martin, J.S.M. (2001)

Time-varying momentum risk

Review of Financial Studies, 14

Daniel, K. and Moskowitz, T.J. (2016)

Momentum Crashes

Journal of Financial Economics

Earnings momentum and post-earnings-announcement drift

Ball, R. and Brown, P. (1968)

Post-earnings-announcement drift

Bernard, V.L. and Thomas, J.K. (1989)

Post-earnings-announcement drift

Novy-Marx, R. (2015)

Fundamentally, Momentum is Fundamental Momentum

NBER Working Paper 20984

Novy-Marx, R. and Velikov, M. (2016)

Earnings momentum net of trading costs

Review of Financial Studies, 29

Chordia, T., Subrahmanyam, A. and Tong, Q. (2014)

Post-earnings-announcement drift, decay

Martineau, C. (2021)

Post-earnings-announcement drift, decay

Griffin, J.M., McInnis, J. and Zhao, Y. (2026)

Post-earnings-announcement drift, signal informativeness

Journal of Accounting, Auditing & Finance

Meursault, V. et al. (2023)

PEAD.txt

Journal of Financial and Quantitative Analysis

Information discreteness

Da, Z., Gurun, U.G. and Warachka, M. (2014)

Information discreteness (frog-in-the-pan)

Review of Financial Studies, 27(7)

Intermediate-horizon and seasonality

Novy-Marx, R. (2012)

Intermediate-horizon (12 to 7 month) momentum

Journal of Financial Economics

Goyal, A. and Wahal, S. (2015)

Intermediate-horizon momentum, international test

Journal of Financial and Quantitative Analysis, 50(6)

Heston, S.L. and Sadka, R. (2008)

Momentum seasonality

Journal of Financial Economics

Keloharju, M., Linnainmaa, J.T. and Nyberg, P. (2016)

Momentum seasonality

Journal of Financial Economics

Risk-managed momentum

Barroso, P. and Santa-Clara, P. (2014)

Momentum Has Its Moments

Journal of Financial Economics

Other momentum forms

Antonacci, G. (2014)

Dual momentum (absolute and relative)

Lee, C.M.C. and Swaminathan, B. (2000)

Volume-conditioned momentum

Journal of Finance, 55

Ehsani, S. and Linnainmaa, J.T. (2022)

Factor momentum

Journal of Finance, 77

Barroso, P. and Wang, X. (2021)

52-week-high effect, concentration in small stocks

Replication and predictability, meta-research

McLean, R.D. and Pontiff, J. (2016)

Does Academic Research Destroy Stock Return Predictability?

Journal of Finance, 71

Hou, K., Xue, C. and Zhang, L. (2020)

Replicating Anomalies

Review of Financial Studies, 33

Jensen, T.I., Kelly, B.T. and Pedersen, L.H. (2023)

Is There a Replication Crisis in Finance?

Journal of Finance, 78

Backtest results, for illustrative academic purposes. Past performance is not indicative of future results. Academic backtests of historical anomalies are subject to data snooping bias and may not generalise. Beat The Market publishes these re-tests under SEC Rule 202(a)(11)(D) as an information publisher, so the content is not personal investment advice, and BTM does not offer the strategies described as subscribable products.