Equity market momentum: A synthesis of the literature and suggestions for future work

I review the literature on equity market momentum, a seminal and intriguing finding in finance. This phenomenon is the ability of returns over the past one to four quarters to predict future returns over the same period in the cross-section of equities. I am able to document about ten different theories for momentum, and a large volume of empirical work on the topic. I find, however, that after a quarter century following the discovery of momentum by Jegadeesh and Titman (1993), we are still no closer to finding a discernible cause for this phenomenon, in spite of the extensive work on the topic. More needs to be done to develop tests that are focused not so much on testing one specific theory, but on ruling out alternative explanations.