Via Damien Boey of Credit Suisse:
Momentum investing is based on the idea that tomorrow’s winners and losers will resemble yesterday’s winners and losers on average, whether on 12-month total return, or 3-month earnings revision bases. We find that macro factors can predict when momentum factors are likely to work well, although there are also micro explanations for why the behavioural bias exists too. Sometimes we just need to acknowledge that the market knows better.
A “counter consensus” view of momentum