@article {Asness75, author = {Clifford Asness and Andrea Frazzini and Ronen Israel and Tobias Moskowitz}, title = {Fact, Fiction, and Momentum Investing}, volume = {40}, number = {5}, pages = {75--92}, year = {2014}, doi = {10.3905/jpm.2014.40.5.075}, publisher = {Institutional Investor Journals Umbrella}, abstract = {It{\textquoteright}s been more than 20 years since the academic discovery of momentum investing, yet much confusion and debate remains regarding its efficacy and its use as a practical investment tool. In some cases {\textquotedblleft}confusion and debate{\textquotedblright} is our attempting to be polite, because it is nearly impossible for informed practitioners and academics to still believe some of the myths uttered about momentum{\textemdash}but that impossibility is often belied by real-world statements. In this article, the authors aim to clear up much of the confusion by documenting what we know about momentum and disproving many of the often-repeated myths. They highlight 10 myths about momentum and refute them, using results from widely circulated academic papers and analysis from simple publicly available data.TOPICS: Exchanges/markets/clearinghouses, portfolio theory}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/40/5/75}, eprint = {https://jpm.pm-research.com/content/40/5/75.full.pdf}, journal = {The Journal of Portfolio Management} }