The momentum factor has empirically generated positive excess returns,
As evidenced by several seminal works including the ones by Jegadeesh and Titman (Jegadeesh & Titman, 1993) and Carhart’s 4 Factor Model (Carhart, 1997).
A 2013 study by Professors Agarwalla, Jacob and Varma of the Indian Institute of Management, Ahmedabad (Agarwalla et al., 2013) calculated factor returns for the three Fama French factors and momentum for the Indian stock markets. Covering two decades of data, this study indicates that momentum was one of the strongest factors in India. This is in line with market experience as well which explains a dominant preference for momentum investing.