Emory University - Department of Finance
University of Texas at Austin - Department of Finance; National Bureau of Economic Research (NBER)
October 23, 2001
University Of Illinois Working Paper
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, G14working papers series
Date posted: February 5, 2002
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