1. In Table 1 we report long-only strategies in the “Recent Winners” and “Recent Losers” columns. These portfolios comprise stocks with the highest and lowest past returns, respectively. The “t-Stat” column reports the t-stat of the long–short portfolio returns. The long–short portfolio holds recent winners and shorts recent losers. Three versions of the momentum strategy are reported for the United States because three different holding periods were used to measure recent returns.
2. For example, Frazzini, Israel, and Moskowitz (2012) analyze trading costs associated with an actual implementation of a momentum strategy by an active manager. Their main finding is that, with thoughtful implementation, transaction costs in a momentum strategy can be significantly reduced.
Arnott, Robert, and Stephen Vincent. 1986. “S&P Additions and Deletions: A Market Anomaly.” Journal of Portfolio Management, vol. 13, no. 1 (Fall):29–33.
Basu, Sanjoy. 1977. “Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis.” Journal of Finance, vol. 32, no. 3 (June):663–682.
Chordia, Tarun, and Lakshmanan Shivakumar. 2006. “Earnings and Price Momentum.” Journal of Financial Economics, vol. 80, no. 3 (June):627–656.
Frazzini, Andrea, Ronen Israel, and Tobias Moskowitz. 2012. “Trading Costs of Asset Pricing Anomalies.” Fama–Miller Working Paper, Chicago Booth Research Paper No. 14-05 (December 5).
Goetzmann, William, and Mark Garry. 1986. “Does Delisting from the S&P 500 Affect Stock Price?” Financial Analysts Journal, vol. 42, no. 2 (March/April):64–69.
Harris, Lawrence, and Eitan Gurel. 1986. “Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures.” Journal of Finance, vol. 41, no. 4 (September):815–829.
Hsu, Jason, Vitali Kalesnik, Helge Kostka, and Noah Beck. Forthcoming. “Navigating the Factor Zoo.” Research Affiliates Working Paper.
Jain, Prem. 1987. “The Effect on Stock Price from Inclusion In or Exclusion from the S&P 500.” Financial Analysts Journal, vol. 43, no. 1 (January/February):58–65.
Lamoureux, Christopher, and James Wansley. 1987. “Market Effects of Changes in the Standard & Poor’s 500 Index.” Financial Review, vol. 22, no. 1 (February):53–69.
Lynch, Anthony, and Richard Mendenhall. 1997. “New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index.” Journal of Business, vol. 70, no. 3:351–383.
Novy-Marx, Robert. 2015. “Fundamentally, Momentum Is Fundamental Momentum.” NBER Working Paper No. 20984 (February).
Novy-Marx, Robert, and Mihail Velikov. 2014. “A Taxonomy of Anomalies and Their Trading Costs.” NBER Working Paper No. 20721 (December).
Shleifer, Andrei. 1986. “Do Demand Curves for Stocks Slope Down?” Journal of Finance, vol. 41, no. 3 (July):579–590.