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MomentumNarasimhan JegadeeshEmory University - Department of Finance Sheridan TitmanUniversity of Texas at Austin - Department of Finance; National Bureau of Economic Research (NBER) December 2011 Annual Review of Financial Economics, Vol. 3, pp. 493-509, 2011 Abstract: 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. 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. Accepted Paper Series Date posted: January 10, 2012Suggested CitationContact Information
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