(One of) the standard explanation people gave for momentum is under-reaction of stockholders to firm-specific news.
If this is true, then it seems that these stocks should have more momentum, and also a longer horizon of momentum returns:
1) stocks held less by institutions and more by households (who check their portfolios and news less frequently) 2) stocks that are less liquid (news go into prices slower)
The same could potentially be said about the difference in momentum across asset classes.
Is there any evidence? Any references/ thoughts welcome.