Momentum

Jegadeesh, Narasimhan; Titman, Sheridan

doi:10.2139/ssrn.1919226

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Momentum

27 Pages Posted: 30 Aug 2011

See all articles by Narasimhan Jegadeesh

Narasimhan Jegadeesh

Emory University - Department of Finance

Sheridan Titman

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

There are 3 versions of this paper

Date Written: August 29, 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. Up 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.

Keywords: Price Momentum, Earnings Momentum, Time-Variation in Momentum

JEL Classification: G12, G14

Suggested Citation: Suggested Citation

Jegadeesh, Narasimhan and Titman, Sheridan, Momentum (August 29, 2011). Available at SSRN: https://ssrn.com/abstract=1919226 or http://dx.doi.org/10.2139/ssrn.1919226