|
|
|
|
||||
|
||||
MomentumNarasimhan JegadeeshEmory University - Department of Finance Sheridan TitmanUniversity 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.
Number of Pages in PDF File: 45 Keywords: Price momentum, earnings momentum, earnings forecast revisions, market efficiency, behavioral models JEL Classification: G12, G14 working papers seriesDate posted: February 5, 2002Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo6 in 0.391 seconds
