Emory University - Department of Finance
University of Texas at Austin - Department of Finance; National Bureau of Economic Research (NBER)
August 29, 2011
There is substantial evidence that indicates that stocks that perform the best (worst) over a three to 12 month period tend to continue to perform well (poorly) over the subsequent three to 12 months. Up until recently, trading strategies that exploit this phenomenon were consistently profitable in the United States and in most developed markets. Similarly, stocks with high earnings momentum outperform stocks with low earnings momentum. This article reviews the momentum literature and discusses some of the explanations for this phenomenon.
Number of Pages in PDF File: 27
Keywords: Price Momentum, Earnings Momentum, Time-Variation in Momentum
JEL Classification: G12, G14working papers series
Date posted: August 30, 2011
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