Abstract

http://ssrn.com/abstract=225438
 
 

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Momentum Strategies


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

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.

Number of Pages in PDF File: 40

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Date posted: July 24, 2000  

Suggested Citation

Chan, Louis K.C. and Jegadeesh, Narasimhan and Lakonishok, Josef, Momentum Strategies (December 1995). NBER Working Paper No. w5375. Available at SSRN: http://ssrn.com/abstract=225438

Contact Information

Louis K.C. Chan (Contact Author)
University of Illinois at Urbana-Champaign - Department of Finance ( email )
1206 South Sixth Street
Champaign, IL 61820
United States
217-333-6391 (Phone)
217-244-3102 (Fax)
Narasimhan Jegadeesh
Emory University - Department of Finance ( email )
Atlanta, GA 30322-2710
United States
Josef Lakonishok
University of Illinois at Urbana-Champaign ( email )
1206 South Sixth Street
Champaign, IL 61820
United States
217-333-7185 (Phone)
217-244-3102 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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