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Paper Stats:
Abstract Views: 4512
Downloads: 96
Download Rank: 47533
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Momentum Strategies
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LOUIS K.C. CHAN
University of Illinois at Urbana-Champaign - Department of Finance
NARASIMHAN JEGADEESH
Emory University - Department of Finance
JOSEF LAKONISHOK
University of Illinois at Urbana-Champaign; National Bureau of Economic Research (NBER)
December 1995
NBER Working Paper No. W5375
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Abstract:
We relate the predictability of future returns from past returns to the market's underreaction to information, focusing on past earnings news. Past return and past earnings surprise each predict large drifts in future returns after controlling for the other. There is little evidence of subsequent reversals in the returns of stocks with high price and earnings momentum. Market risk, size and book-to- market effects do not explain the drifts. Security analysts' earnings forecasts also respond sluggishly to past news, especially in the case of stocks with the worst past performance. The results suggest a market that responds only gradually to new information.
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JEL Classifications: G1
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Working Paper Series
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Suggested Citation
Chan, Louis K.C., Jegadeesh, Narasimhan and Lakonishok, Josef, "Momentum Strategies"
(December 1995).
NBER Working Paper No. W5375. Available at SSRN: http://ssrn.com/abstract=225438
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Contact Information for
LOUIS
K.C.
CHAN
(Contact Author)
Email address for LOUIS
K.C.
CHAN
University of Illinois at Urbana-Champaign - Department of Finance
1206 South Sixth Street
Champaign
, IL
61820
United States
217-333-6391 (Phone)
217-244-3102 (Fax)
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Contact Information for
NARASIMHAN
JEGADEESH
Email address for NARASIMHAN
JEGADEESH
Emory University - Department of Finance
Atlanta
, GA
30322-2710
United States
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Contact Information for
JOSEF
LAKONISHOK
Email address for JOSEF
LAKONISHOK
University of Illinois at Urbana-Champaign
1206 South Sixth Street
Champaign
, IL
61820
United States
217-333-7185 (Phone)
217-244-3102 (Fax)
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(No e-mail address available for JOSEF
LAKONISHOK
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge
, MA
02138
United States
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