"Value strategies work, in general, but are strongest among low-momentum (loser) stocks and weakest among high-momentum (winner) stocks. The momentum strategy works, in general, but is particularly strong among low-value (expensive) stocks."
Asness (1997)

"Higher abnormal returns can be achieved by applying an earnings momentum strategy to stocks with a low dispersion."
Dische (2001)

"First, once one moves past the very smallest stocks, the profitability of momentum strategies declines sharply with firm size. Second, holding size fixed, momentum strategies work better among stocks with low analyst coverage. Finally, the effect of analyst coverage is greater for stocks that are past losers than for past winners."
Hong, Lim and Stein (1999)

Top Papers

  1. CHAN, K., et al., 2000. Profitability of momentum strategies in the international equity markets. Journal of Financial and Quantitative Analysis. [Cited by 41]
  2. CHUI, A.C.W., S. TITMAN and K.C.J. WEI, 2000. Momentum, Legal Systems and Ownership Structure: An Analysis of Asian Stock Markets. University of Texas at Austin working paper. [Cited by 20]
  3. CONNOLLY, R. and C. STIVERS, 2003. Momentum and Reversals in Equity-Index Returns During Periods of Abnormal Turnover and Return …. The Journal of Finance. [Cited by 11]
  4. CAGINALP, G. and D. BALENOVICH, 1999. Asset Flow and Momentum: Deterministic and Stochastic Equations.. Phil. Trans. Royal Soc. London. [Cited by 7]
  5. BLAU, W., 1995. Momentum, direction, and divergence. [Cited by 5]
  6. OKUNEV, J. and D. WHITE, 2003. Do Momentum-Based Strategies Still Work in Foreign Currency Markets. Journal of Financial and Quantitative Analysis. [Cited by 4]
  7. MORRIN, M., et al., 2002. Taking Stock of Stockbrokers: Exploring Momentum versus Contrarian Investor Strategies and Profiles. Journal of Consumer Research. [Cited by 4]
  8. CHAN, L.K., N. JEGADEESH and J. LAKONISHOK, 1996. Momentum strategy. Journal of Finance. [Cited by 2]
  9. SCOTT, J., M. STUMPP and P. XU, 2003. News, Not Trading Volume, Builds Momentum. Financial Analysts Journal. [Cited by 1]