Momentum is a trading system of buying financial assets that had high returns over the past months and selling those ones had low returns over the same time period.

The first authors to show this phenomenon up financial markets were Jegadeesh & Titman (1993) that reported this strategy gains ~1% of returns per month on average; particularly, they tested momentum on different holding periods, finding that the stocks that had the higher (lower) returns over the past 3 months will have positive (negative) returns over the next 12 months.

It doesn't exist consensus about this theory, since economists had a lot of troubles reconciling this phenomenon with the market efficiency theory and the contrarian strategy.