Is Momentum an Echo?

51 Pages Posted: 1 Oct 2011 Last revised: 27 Apr 2013

See all articles by Amit Goyal

Amit Goyal

University of Lausanne; Swiss Finance Institute

Sunil Wahal

Arizona State University (ASU) - Finance Department

Date Written: April 13, 2013


In the U.S., momentum portfolios formed on returns from 12 to seven months prior to the current month deliver higher returns than momentum portfolios formed from six to two months prior, suggesting an “echo” in returns (Novy-Marx (2012)). In 37 countries not including the U.S., there is no such echo. In portfolios that combine securities in developed and emerging markets, there is also no echo. Any echo in the U.S. appears to be driven largely by a carryover of short-term reversals from month −2.

Keywords: Momentum, Market Efficiency, Return Predictability

JEL Classification: G12, G14, G15

Suggested Citation

Goyal, Amit and Wahal, Sunil, Is Momentum an Echo? (April 13, 2013). Available at SSRN: or

Amit Goyal

University of Lausanne ( email )

Batiment Extranef 226
Lausanne, Vaud CH-1015
+41 21 692 3676 (Phone)
+41 21 692 3435 (Fax)


Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4

Sunil Wahal (Contact Author)

Arizona State University (ASU) - Finance Department ( email )

W. P. Carey School of Business
PO Box 873906
Tempe, AZ 85287-3906
United States

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