Can Individual Investors Beat the Market? (Coval, 2003)
Discussion of the observation that most individuals do not beat the market, but some do so on a consistent basis.
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiencies (Jegadeesh, 1993)
One of the most influential papers documenting the price momentum effect in stocks.
Momentum in Financial Markets: Why Newton was Wrong (The Economist, 2011)
Mainstream media article discussing the momentum effect.
Active Equity Managers in the US: Do the Best Follow Momentum Strategies? (Mulvey, 2008)
Concluding that active managers can improve their performance by adopting momentum rules.
Study of Fat-tail Risk (Cook Pine Capital LLC, 2008)
Brief study discussing that markets act more volatile than assumed by classical mathematical models, which would also support the observation of momentum effects.
A Slinky (Short-term) Reversion Effect? (CXO, 2010)
Observing a weak short-term (one to five days) mean reversion effect in the stock market. Short-term mean reversion is an important anomaly exploited by swing traders.