An explanation of momentum in Canadian stocks

This paper examines the drivers of momentum in Canadian stocks. We find that momentum is negatively related to book-to-market and analyst coverage, whereas size appears to play no role in explaining the momentum effect. We further document that analyst coverage is more important than book-to-market in explaining momentum. In contrast to prior research, we find only partial support for the Fama and French (1998) book-to-market argument in that most of the continuation effect is explained by low book-to-market stocks.