---
title: Is There Evidence for Momentum and Mean Reversion in Asset Class Returns?
url: https://www.ml-quant.com/papers/ssrn/4922716/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4922716
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4922716
featured: 2024-08-15
citations: 0
topic: Asset Pricing & Factors
---


# Is There Evidence for Momentum and Mean Reversion in Asset Class Returns?

The note introduces a straightforward measure of momentum and mean reversion effects in asset class returns, indicating that fixed income assets exhibit momentum effects while equities display short term momentum and long term mean reversion.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4922716
- Identifier: SSRN 4922716
- Released: 2024-07-01
- First featured: Quant Letter No. 61 (2024-08-15): https://www.ml-quant.com/issues/2024-08-15/
- Citations (Semantic Scholar): 0
- Published in: not yet
- Topic: Asset Pricing & Factors

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