Is momentum investing irrational? Momentum here is defined as the persistence of recent pricing trends to continue in the short-term future. It’s not a trick question, but it’s complicated. As financial economics continues to identify “factors” (or alternative betas, if you prefer), the new insight both helps and hinders the effort to clarify the truth about asset pricing. One the one hand, documenting the case that securities prices are driven by more than the “market” beta represents an attack against modern portfolio theory and the efficient market hypothesis. Yet the same smoking guns can also be used to defend EMH. The momentum factor offers an intriguing example.