Trade-Based Analysis of Momentum
Research By Soeren Hvidkjaer THE PHENOMENON OF MOMENTUM—THAT STOCKS WHICH INCREASE IN PRICE ONE YEAR WILL TEND TO CONTINUE TO INCREASE IN PRICE OVER THE NEXT YEAR, AND THAT STOCKS WHICH DECREASE IN PRICE ONE YEAR WILL CONTINUE TO DECREASE IN PRICE OVER THE NEXT YEAR—HAS INTRIGUED RESEARCHERS FOR A LONG TIME. WHAT DRIVES THIS ANOMALY? IF MOMENTUM IS DRIVEN BY A PARTICULAR KIND OF INVESTOR BEHAVIOR, THEN THAT BEHAVIOR SHOULD BE DETECTABLE IN THE TRADING RECORDS, REASONED SOEREN HVIDKJAER, ASSISTANT PROFESSOR OF FINANCE AT THE SMITH SCHOOL.