Price Momentum: Was It There?

Abstract

Momentum has been one of the most long-lasting anomalies in the finance literature. Its existence and sources has been of intense interests. This paper is the first to examine momentum strategy in a period longer than any existing studies, 1694 to 1984. Momentum is found to be profitable in the United Kingdom during this period and the profits are not only positive in January, but also larger than the overall returns.