Origin and Evolution of Momentum: A Literature Review

The multi-factor models are playing an indispensable role in understanding the systematic risk and the market perception of value across assets. Within the zoo of factors, the momentum factor and the robustness of its associated returns have captured substantial attention in the asset pricing research. We briefly tracked the evolution of the multi-factor models with a particular emphasis on the multidimensional elaboration of momentum. We present a comprehensive review of the theoretical underpinnings and empirical evidence pertaining to momentum, as documented in extant literature. Our analysis synthesizes the current state of knowledge, illuminating the significance of momentum in contemporary asset pricing and its implications on the financial markets.