The "momentum effect" is exploited widely in trading it is, for example, a familiar hedge-fund strategy but that does not seem to have eliminated it (Jegadeesh and Titman 2001). Roll and Ross Asset Management, for example, found that the effect has "been a pretty long-term thing" (Roll interview). In the case of other anomalies, exploitation seems to tend to diminish their size, but that may not be so with the momentum effect, which conceivably may be intensified by the trading that exploits it. For example, buying a "winner" to exploit its momentum may have the effect of making it more of a winner, encouraging other "momentum traders" likewise to buy.

Donald MacKenzie, An Engine, Not a Camera, loc. 456