The momentum effect was documented by Jegadeesh and Titman in 1993, persuading mainstream economists.

Evidence

Market practitioners had long suspected the existence of a momentum effect. The paper that seems to have convinced even “orthodox” financial economists that such an effect was real was “Returns to Buying Winners and Selling Losers” (Jegadeesh and Titman 1993). One reason the effect is of interest is that among possible explanations is the “behavioral finance” conjecture that market participants “underreact” to new information, so the market “responds only gradually to new information” (Chan, Jegadeesh, and Lakonishok 1996, p. 1681). — Donald MacKenzie, An Engine, Not a Camera, 455