27 Pages Posted: 30 Aug 2011
Date Written: August 29, 2011
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
By Meb Faber