Abstract

References (35)

Beta

Citations (155)

Beta

One-Click Download | Share | Email | Add to Briefcase

Momentum

Narasimhan Jegadeesh
Emory University - Department of Finance

Sheridan Titman
University of Texas at Austin - Department of Finance; National Bureau of Economic Research (NBER)

October 23, 2001

University Of Illinois Working Paper

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. Momentum trading strategies that exploit this phenomenon have been 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 evidence of price and earnings momentum and the potential explanations for the momentum effect.

Keywords: Price momentum, earnings momentum, earnings forecast revisions, market efficiency, behavioral models

JEL Classifications: G12, G14

Working Paper Series

Date posted: February 05, 2002 ; Last revised: March 15, 2002

Suggested Citation

Jegadeesh, Narasimhan and Titman, Sheridan , Momentum (October 23, 2001). University Of Illinois Working Paper. Available at SSRN: http://ssrn.com/abstract=299107 or doi:10.2139/ssrn.299107

Export to: Export Citation What's this?

Contact Information

Narasimhan Jegadeesh (Contact Author) Emory University - Department of Finance ( email ) Atlanta, GA 30322-2710 United States
Sheridan Titman University of Texas at Austin - Department of Finance ( email ) Red McCombs School of Business Austin, TX 78712 United States 512-232-2787 (Phone) 512-471-5073 (Fax)
National Bureau of Economic Research (NBER) 1050 Massachusetts Avenue Cambridge, MA 02138 United States