Asness believed he had discovered a curious anomaly in a trend driving stock prices. Stocks that were falling seemed to keep falling more than they should, based on underlying fundamentals such as earnings, and stocks that were rising often seemed to keep rising more than they should. In the parlance of physics, the phenomenon was called “momentum.” According to the efficient-market hypothesis, momentum shouldn’t exist, since it implied that there was a way to tell which stocks would keep rising and which would keep falling. Asness knew that momentum was a direct challenge to Fama, and he
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