*3.2. Momentum E*ff*ect*

At the moment when more and more empirical evidences are gathered to testify Winner–Loser Effect, Jegadeesh and Titman (1993) found that stock returns are positively correlated in the period of 3–12 months, i.e., the Momentum Effect. If stock returns are examined over a period of six months, the average return of the "winner portfolio" is about 9% higher than that of the "loser portfolio". Chan et al. (1996) enlarged Jegadeesh and Titman's (1993) research samples and obtained the same results.

Research conducted by Rouwenhorst (1998) showed that the Momentum Effect also exists in other developed markets and some emerging stock markets. Moskowitz and Grinblatt (1999) studied the Momentum Effect of portfolio selected by industry, and they found that the industry portfolio has significant Momentum Effect in the US stock market, and the abnormal return is larger than that of individual portfolio.

Unlike other researchers in the literature, Asness et al. (2014) challenged the existence of momentum itself, instead of explaining it by claiming the limitation of momentum. They proved that momentum return is small in size, fragmentary, under the concern of disappearing, and only applicable in short position. In the second place, momentum itself is unstable to rely on, behind which there is no theory. Last but not least, momentum might not exist or be limited by taxes or transaction costs, and it provides various results, depending on different momentum measures in a given period of time.

#### *3.3. Calendar Anomalies—January E*ff*ect, Weekend E*ff*ect, and Reverse Weekend E*ff*ect*
