The simple strategy of buying stocks that have been performing well recently (“winners”) and avoiding/shorting stocks that have been performing poorly (“losers”) has proved to be very profitable, dating back over the last century.

The fact that such a simple strategy consists performs profitably has lead Eugene Fama, the father of efficient markets, to describe it the one remaining market anomaly. The second paper reviewed here proposes an explanation of the momentum anomaly on equity markets.

In the first paper discussed below, “the boys from AQR” - a major ...